Well, in most circumstances your going to want to follow the cave tutorial you can get here: http://www.ryandor.com/files/caveentrances2.pdf
It teaches you how to create cave entrances then build the caves themselves, right into the mountain using dragon. You have to follow the instructions pretty close, or it won't come out right. It also takes a lot of practice to get them just how you want them.
The caves off to the right side of the map, in the black area, are usually for instances where you have a staircase in a cave leading down or up and you teleport them to another staircase in order to simulate them walking up/down the staircase into another part of the dungeon.
Depending upon what server your running you do teleportation different ways. I use RunUO, and typically I use the little invisible shields called teleporters.
Then you can set the location it teleports you to using the [props command on it.
Hope this helps.