There is an endless amount of discussions regarding having sand as substrate in your terrarium. Most people are (hopefully) aware of the fact that there is a risk of impaction, if your gecko eats the sand, and it gets stuck inside its stomach. On the other hand, in nature, the leopard geckos live in the desert, and it's natural for them to be able to dig (both to cool off, and when they are about to lay eggs).
I have always, during my 13~ years as a leopard gecko owner, used sand in my terrariums. Although I never use fine sand, but more like the kind you would have in an aquarium with fishes. I think sand is way more natural for a leopard gecko than using paper as substrate. But make sure the sand is kind of coarse.
Eating sand is not bad itself, since the sand contains minerals and might help digesting the food. It is when the sand is fine enough to clump up in the stomach that there might be some unexpectedly sad consequences.
So remember; if you want to use sand for your leos, make sure it is course and won't cause impaction.