Hi Martin,
I usually use a nesting area similar to what you have setup on the left side of your cage. A good border of rocks and 6 or so inches of moist play sand (makes it easy to dig the eggs out).
As long as the female has a large enough area to dig a tunnel, you should be ok. I'm sure some females would be fine with using a nesting box, but I just haven't tried using them much.

take care.
Nick