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I find paper substrate like Kaytee clean & cosy holds tunnels well, hemp bedding works well too or you can combine them.
Some people mix hay in with the substrate which can work well, hay is fine but you do need to remove any sharp pieces before use & it's best to freeze it for about a week or at least 48hrs.
A wooden barrier would be best for keeping the deep substrate in one section, be very careful about putting anything like large pebbles in the cage as they can potentially hurt your ham.