Russ, The holes go anywhere from 1/4 inch up to 6 inches around and up to 2 ft deep into the wall. Some of the holes start in the wall and they dig up through the outside surface and I have mud mounds about 2 ft up and away from the pond. I have dug into them and found the crayfish. I think they get bigger because of the wave action and the frogs who hide in them as well.
In this latest dry spell I added more area to the pond ( shallows 2 - 4 ft deep ) and added tons of rock and rip rap to the shelfs where the shallows are. After that I noticed that there are fewer new crayfish holes. Either the fish have gotten to the crayfish and limited the numbers, or they have gone deeper into the pond, or they are using the rocks instead of hiding in the walls of the pond.
Most of my crayfish came out of a creek and as such were used to rocks not digging into the mud. I think that when I gave them the correct cover they are less likely to dig where they are not supposed to dig. At least that is what I am hoping for.
