In nature I believe the fry often hide among the spines of urchins, and I've seen a photo of someone who built an artificial urchin out of a clay ball and some toothpicks for the fry to live in. I guess you'd have to be careful about the type of clay you used; maybe a styrofoam ball would work and not be too toxic, but of course you'd have to tie it down somehow. If you don't have a diadema urchin, you might consider getting one. They're great algae eaters; in fact, I'm going to get one for my corner tank.