Dig boxes are fine in the cage long term, or outside it. I cant say it would stop them from destroying other things (they are rats after all) and there is likely to be at least some mess from it. It is a lovely thing to do for them and I think a must in any cage without a decent amount of substrate to dig in.
In terms of what to use, I would recommend getting a deep Tupperware box, ideally with a lid. Cut a hole in the lid and cover the outside with something fleecey (to act as a door mat!). Then choose a filling, I alternated mine a fair bit to give them variety but most things went down well from the list below. You want to fill it about half way to 60%, enough to leave room for the rat at the top but give them space to really dig down. To get them going scatter some of there food in it occasionally.
Contents
*60/40 mix of potting compost and sand
*reptile coco fiber bedding made up as per instructions
*hemp/aspen bedding
*shredded paper/card
*good quality low dust hay
*shredded cloth (this failed for me as the rats just moved in and slept in there, as well as urinating, nasty smell fast)
