When Tasha was young I used a crate. It's dark/cave-like and she often went in there to sleep of her own choice.

Now I have an exercise pen (aka ex-pen) set up in a room with blankets that the dogs sleep in. There's plenty of room and the dogs will often go in there and go to bed whether the door is open or closed. They seem to like having their own little area that is just for them and it gives them the feeling and security of a "den."

Of course, if my husband is out of town for whatever reason, Tasha always sleeps with me and sometimes Tommy joins in the fun too