The Wind Caves are accessible from the northern end of Split Mountain. The trailhead is marked on Google maps. A high-clearance vehicle is a must as the road inside Split Mountain is littered with medium and large rocks. You should be OK with 2WD as long as you don't stray from the established path. My Titan has 4WD, but I didn't need to use it. Once you get to the trailhead - which is marked with a sign reading "Wind Caves", it's a moderate one mile hike up and over a hill to the caves.
"On the eastern edge of Anza-Borrego Desert State Park lies Split Mountain, the Carrizo Badlands, and a feature known as the Wind Caves. Here, the exposed sandstone of the marine beds from the five-million-year-old Imperial Formation have been slowly eroded by wind into fantastic shapes that evoke whimsical images of boats with portholes, spaceships, and even the fictional town of Bedrock, hometown of the prehistoric Flintstone family."
1. San Diego Reader / The Canyoneers. Canyoneers are San Diego Natural History Museum volunteers trained to lead interpretive nature walks that teach appreciation for the great outdoors.