personally i believe that elves built the halls of thranduil because elves can build many beautiful things, but I don't have any idea how long that would have taken
I found this entry on a Middle-earth Wiki. It includes the history of Thranduil's halls.
reading that entry i still believe that the elves built it as they used it as a fortress, and because the doors could only be closed and secured by magic I think that strongly suggest that elves built that fortress.
It sounds like Thranduil found the caves and modified them to become his halls, so I'd agree they did build them. Also the page says some dwarves helped too.
@Dungeonwyrm like a newer lesser nargothrond
I would agree there was a strong defensive element in Thranduil's halls, since he was concerned about the Necromancer. Since the halls were modeled after Menegroth, the palace of King Thingol in the First Age, they were undoubtedly beautiful.