Tile is definately the most natural looking substrate available. Its funny, a lot of people feel sand is most natural - but when you actually look at the habitat of the Leo and the terrain they are designed to walk across - its not loose sand. Lizards that are designed for life in loose sand are usually burrowing creatures - streamlined and slender to make it easier to move. Leos are heavy bodied and have tiny little toes which sink in deep sand. Their natural environment is more hard packed sand, rocks and so forth, so textures tiles are really the most "natural".
In my experience they are not harder to heat then any other substrate - in fact, due to the nature of the material they are pretty good heat conductors. An undertank heater should do just fine - and you will likely find it gets too hot and needs to be controlled via a thermostat or dimmer device. Use your digital thermometer with the probe taped to the tile over the heat pad to monitor the temps.
The tiles you use are jst regular tiles you can buy at any home depot type store - they come in a variety of textures and colors to suit your preference. You can use pretty much any type of tile without any issue - they tend to be sealed so its very easy to clean them with a damp sponge. You can buy the small 6x6 tiles or the larger 12x12s. You may need to either rent or purchase a tile cutter in order to get them to fit properly if you want to layer the entire tank floor with them. You can buy a manual tile cutter for 20-30$.
Some people choose to use aquarium sealant to seal the tiles in place permanantly, or you can just lay them in the tank and fit them snuggly so they are secure. You can put a layer of substrate beneath them if you want - a thin layer of sand or a sheet of non adhesive shelf liner - although many people just put the tiles down on the tank floor.
You can feed all the same insects as you would on any other substrate - in fact its even safer because you dont have to worry about the Leo ingesting substrate while diving for a cricket.
As for the calcium - you want to leasve a dish of the rep-cal calcium supplement in the tank at all times. This allows your leo to lick the calcium as they see fit - in addition to dusting the insects.
No problem - questions show that you are interested in taking proper care in your animals - which is what really counts!! I could talk reptiles all day (and often do....)
On a quick side note, if you get another Leo (which i suspect yo will - they are addictive, i swear!) make sure you dont put them in the same tank. a common mistake of new leo owners is to house their geckos together...there are many reasons why this is inappropriate, especially when one or both of the Leos are younger - which i would be more than willing to go into detail with you if you want but i feel this particular post has rambled on long enough
Jst make sure you have a separate tank set up for any additional Leos.
Your Leo will be very happy and healthy in your care, i suspect :-D
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1.1 Bearded Dragons
2.2 Leopard Geckos
1.0 Uromastyx (Mali)
1.1 Corn snakes
0.1 Mexican Black Kingsnake
1.0 Bairds Ratsnake
1.0 Rosy Boa
1.1 Green Anoles
1.1 House Geckos
0.0.2 Flying Geckos
0.0.1 Red Eye Tree Frog