Igloos are great, but you might want to build him a "tunnel"-- it's easy to build, you just nail some wood together.
There are pictures of Carrot's tunnel in my gallery if you'd like to see.
No, this is definately not the solution. Your pigs can chew it and bite to the nail, or it might pop open and the nail will be exposed.
There are other solutions for making tunnels such as using a plastic bin, and cutting and sanding the ends off. You can use PVC piping, and plastic tubes. If you WERE to use or make a wood tunnel, make sure it's not put together with nails or glue. Some pieces of wood come with notches at the ends, and you can slide and hammer the pieces of wood together without any binders. It's really easy as 123.
Some other home-made toys you can make for your cavy are:
Hammocks - Just a pillow case tied to the corners of the cage, or if you're more complex, make one with straps.
Random Pillows - I just took some sheets of fleece, folded them in half, stuffed with fleece scraps, and tied the ends off. I also made a giant pillow. I used a pillowcase and stuffed it with hay.
Anything made with paper - you can use toilet paper rolls, paper balls or just a sheet of newspaper.
Bunk Beds - Just take a grid from your cubes set, and bend it in half. Then cable tie it to the side of the cage atleast 2 inches off the ground. Then put a sheet of cardboard or coroplast on top of it, and wrap it with fleece.
There are so many things you can make for your guinea pig!