I don't want to steal from Tiggsy's thread but to answer your question. This is what I used:
US Plastics Acrylic Tubing
I bought 1/4" and 3/8" rods. I got two masonry bits 1/4" and 3/8" although I found this doesn't matter - regular bits work just fine on live rock. Just drill a hole in two separate rocks and insert a short piece of rod to joint the two. It's sorta like tinker toys except you don't see the rods and the holes are deeper. The rod will fit very snug and
You'll need to cut the rod to fit.
I think it is harder to aquascape doing it this way. You'll have to build from the ground up in the tank in most cases. Planning is likely harder because of the construction method and the time constraints of keeping the rock wet. Mine turned out pretty close to plan though.
Sometimes while drilling it, a rock will just split in half or a chunk will fall off instead of just drill nicely. Most holes drill well though.