From Leopard Gecko Wiki
Vermiculite is a substrate used in incubation of Leopard Gecko eggs. The main advantage of vermiculite over other incubation substrates is that it retains water at high rates, and unlike other substrates, expands when heated. Large bags of vermiculite are available at gardening and hardware stores for around $20. To keep the vermiculite moist, keep a small cup of water in the incubator with the eggs. Just be sure to change it frequently.