Cavey Davey can be found on the island of Mos Le'Harmless, which is accessed after Cabin Fever. If you attempt to go into the Mos Le'Harmless Caves, he warns you to be prepared before going in. Cave horrors are the main residents of this cave. If you are attempting to go kill them, make sure you bring a Witchwood icon, a light source and a tinderbox.