I find they like it natural. They are happier when they have shifted a bit for themselves, and I suppose they have an urge to secure themselves for winter. I see my role as an assistant to them, and a guardian of their preferred environment.
They could go under my shed which has raised wooden floor, and behind my compost bins I have a pile of roof tiles left over from building the house, under which they could find really good shelter. But it seems to me they prefer it under the hedges, where I have laid out piles of old sticks. They gather plenty of old grass, make a big ball, and get inside for the winter.
The key thing is to make sure there is plenty of material with which they can gather to stuff their winter home. :)
The site is another question. Once again, I find they know best themselves what they are doing. In my garden, they choose a place that catches what bit of winter sun there is, while blocking the wind and deflecting rain / snow. Under a south-facing hedge seems very popular, something like this;
