From Leopard Gecko Wiki
Sand is a substrate often used with leopard geckos. When using sand, take precaution, as this substrate is the main cause of impaction. There are two types of sand that are most commonly used. Take precaution in using any form of sand, or loose substrate in general.
Natural or "Play" Sand
This type of sand is natural, found everywhere from the beach to sandboxes. There are some positives and negatives with using this type of sand. This sand is composed of tiny rock and mineral grains, which leopard geckos cannot digest. However, since this sand does not contain calcium, the gecko will be much less more likely to lick or eat it, when it is in need of that nutrient. You can purchase this sand very cheap at a hardware store.
This type of sand is not natural, instead it is composed of calcium carbonate (CaCO3), commonly known as chalk. Calcium carbonate is digestible to a certain extent. However, the gecko will be more likely to lick at this type of sand. You can prevent them from licking the sand by providing them with a calcium dish, simply a saucer dusted with calcium powder. This type of sand also comes in a fun array of colors, and even can be glow-in-the-dark!