Haha! I'm glad I'm not the only one who wonders about these sorts of things.
I think they go as deep under logs and things as they can. Even into the ground a bit if there's a crawl space. I often find them in the holes of old bricks we have lying around. Of course here, they hibernate the hot dry times away.
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These tiny little details sometimes make me worry about the vastness of it world.
But it would be great to find one in its sleep and wake it up LOL.