My girls do that when they are demanding one of 2 things, either a male nearby or else, their nest boxes. I give them a box with damp moss and they go to work scrunching it into just the right formation. Usually a good omen of things to come, although I have one girl who I swear just prefers to sleep in the moss rather than the hard floor of the cage (ha ha). Good luck with them.

Cheers,
Kat