They dig and search for good substrate, moisture levels, depth, and location. This is why the entire cage has a dirt substrate, mine has a percentage of sand mixed in at over 1 ft deep, mine have layed eggs 1ft underground and Im sure would go a bit deeper if they can. They lay eggs at the end of a burrow that can be of considerable length also.
To me nest boxes are a sign of improper husbandry, something needs fixed if they are used. Of course bearded dragon people have been known to use them, but yet my BDs always dug their own nests in real dirt with good results, another sign that egg laying boxes are a bandaid.
Just be prepared to do alot of digging with your fingers they arent the easiest thing to find sometimes.