My khuli loaches select one cave (out of 6 sites) and live there. They are noctournal and only come out after 8pm (1 hour b4 the lights go out) till 7am (where i normally feed them), its like clockwork.
Their previous owner (a member of TFF) had a shell that they would live in. So i guess the answer is, if you want them to be the happiest possible, get caves.
The only problem is that the caves will fill up with their poo in time, so turn it upside down every now and then (say each month) and vacume it out.