Using poles and groundsheets (or similar) plus string construct shelters big enough for 3 - 4 cubs to shelter in. To make it exciting (weather permitting) the shelters can be tested with either a hose or a bucket!
Inside version: use bed sheets and cushions.
Long wooden poles, ground sheets, string or rope.
Split the Cubs into groups of 3-4 provide each with a ground sheet, some poles and string. Allow them to construct a shelter big enough for them all to sit in.