I currently use millet seed which is nice for me, though I think less nice for the uros. I used to use playsand, which the uros seemed to like somewhat better, but the dust was awful. It's cheaper than millet, too. Both are acceptable options.
Some people use ceramic tiles placed upside down in the cage with good success - they also have a thorough tunnel system for the uros to play and hide in.
I would like to try a "burrowable" soil substrate soon - as soon as I can get a test container and extra lighting supplies. I was skeptical at first, but more and more people (the ones who seem to be doing it right, anyway) seem happy with it.
Best of luck! Anything will be a better choice than the walnut. 
-----
Torey
1.1 Uromastyx Geyri (Joe and Arthur)
1.1 Anolis Carolinensis (Bowser and Leeloo)
1.0 Betta Splendens (Mr. Miagi)
0.0.2 Sunset Dwarf Gourami (Gimpy and Sideshow)
0.0.6 Bloodfin Tetras (including the one-eyed Captain Morgan)
0.0.1 False Spotted Corydoras (Spot)
0.0.2 African Dwarf Frogs
1.1 Felis Domesticus (Roscolux and Jenny)
