While they do appreciate some sand to dig in, they don't need the depth in a properly set-up enclosure. In the wild they'll dig down to the moist sand layer, as well as make burrows to live in. In captivity we can substitute hides - both moist and dry.
My keyerlingii have been quite happy for 5 years in the type of set-up shown here.
The substrate is around 2-3 inches deep, but they'll rearrange it just about every night, so in some places it can be down to nothing, up to 5 inches when they're done. The square tupperware container in the middle has some moist sand, a plastic cave provides a hide box.
Another enclosure with a PVC pipe partialy buried in a tupperware container of moist sand:
The covers from old fluorescent fixtures (shown on left side), cut in half, make great caves
Slate slabs (siliconed for safety) make suitable climbing areas
Heat cable wound around the rocks provides heat and warms the basking rocks. After the lights and timers go off, the geckos will sit on the warmed rocks, similar to the wild ones soaking up heat when they first come out for the night.
A pair of froggies in one of the dry hides
