How big is your yard? If you get desperate, you can try what I did with my rabbit pen. Buy a couple sheets of wire fencing from home depot and roll it out flat on the ground, and cover it with a bunch of dirt. The grass will eventually grow through it and you won't be able to see the wire at all. The dog won't be able to dig through this at all. It is basically a foolproof method, but if you have a big yard, it's expensive.

Or you could try some training- maybe if your dog loves to be outside, everytime you see him digging, give him a firm "NO" and bring him back inside until he learns........

Good luck! and let us know when the holes disappear!