I'm just a newbie but I have had success growing a java moss "lawn" on some slate rock.
All I did was lay out the strands of moss evenly on the surface, then I took fine fishing line and wrapped it around the slate as tight as possible, making sure the moss stayed evenly spread and attached. You could tie the line in small grids. I can't see the fishing line the moss is looking good, although growing slowly.
I also have a cocnut cave and I love it, it looks natural and would be a nice addition to the natural rocky look you're going for. I'm even considering attacking some moss to the coconut shell as well, I've seen pictures and it looks great.
Good luck