you can modify the $HISTFILE variable to be whatever you would like, but as for keeping the user away from it, not sure about that, perhaps do some sort of output duplication. I set my $HISTFILE var like this:
export HISTFILE=~myhome/shist/.sh_history.`hostname`
which lets me have a separate history on each server. my home is in a nfs-mount and generally accessible on all of our machines. perhaps you can do something creative with a nfs-mounted history directory.
IBM Certified -- AIX 4.3 Obfuscation