Goats will climb a spiral-shaped tower, if it seems worth the effort to build one.
http://en.wikipedia.org/wiki/The_Goat_Tower I guess it might be easier to build them a shed high up in an existing structure, with a long staircase up to it.
I would recommend silicon carbide, AKA corundum. They sell coarse SiC "sand" to put in ashtrays, due to its thermal conductivity. It's also commonly dusted over pavement as an anti-slip surface; you'll notice it often because the pavement glitters in the sun.
[re-reads latest post]
But it sounds like you've already built boxes, and they're working! Glad to hear it.
"the qualities of these bacteria, like the heat of the sun, electricity, or the qualities of metals, are part of the storehouse of knowledge of all men. They are manifestations of the laws of nature, free to all men and reserved exclusively to none." SCOTUS, Funk Bros. Seed Co. v. Kale Inoculant Co.