Domes are very strong
so they would probably be the best shape to bury within the lunar soil. They also expose the minimum amount of surface area for a given volume, reducing heat gain/loss and perhaps air loss.
If the reports of lunar ice are accurate, then you could make concrete from the lunar soil. The Japanese did some experiments on this several years ago. You don't have to worry about the heat required to process the soil into concrete - just use a solar concentrator. There's plenty of free heat on the moon.