Is there any good way to go from a large cave hall piece to a small room? And small to large?

There are Hall transition pieces. However, that will lengthen the hall, and does not provide you with a direct connection between large hall and the small room.
Instead you can try the "free form" approach, using boulders,rocks and pillars to cover up the holes where the small and large pieces do not match.

Thats just the thing I tried and it was horrible hehe (Caves)

I'm just playing with mine and cave, and I had to make transition between nordic big room and a cave. There are pieces called *WallDoor*, with that pieces, you can adjust a big cave door to a small door.

I used MineCEDoorHole -> MineCLEWallDoorL01 -> MineCLRoomDoorLB03.

With some combination, you can pass form epic cave to small hall.