I am working with some of the cave pieces and encountered a bit of a hurdle. Perhaps I'm simply overlooking something. But I am not able to locate an entrance/exit piece for the small hall set. Are there any? If not, are there any large to small hall transition pieces? I haven't seen any of those either.

If neither of those are available, is there a way to create a custom entrance/exit?

You have to use the doorways in the SmallRoom set. There are halls in the SmallHall set that transition behind these perfectly.