I found if you use a spray bottle and spray the cat with a stream of water when it does something bad, like bother your gecko, try to get into your crickets, scratch the wall, jump on kitchen table, whatever it learns pretty quick not to do it.
Treats work good as well for training, but that might make the cat think you are rewarding it for bothering the gecko. I taught my cat to speak on command for treats. 
I have my cat trained now to stay out of my bedroom, snake's room, and not play with wires or scratch, all with water.
>>well you can cover the cage with paper/whatever during the time you're not in your room to prevent the cat staredown, or keep the cat out entirely.
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>>also how old is your leo? If its a baby/juvenille the skiddishness is natural. Although lack of appetite is not...
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Tim W. My Pictures
0.1.0 Dumeril Boas
0.1.0 Kittens
0.0.1 Leopard Geckos