I don't think they lived underground, but they would take shelter in abandoned burrows if they came across them. I believe they would hide under stuff though to keep safe from predators which is why it's encouraged to provide them some sort of covered area or hidey.
They can eat all kinds of yummies but you'll have to do a trial and error to see what they like. This link should help, it has for me. I printed it and folded it in a way it's kind of like an index card that I keep in my purse for when I'm at the store.