Don't use sand, go to Homedepot/Lowes and buy some slate tiles. They are $1 per 12x12 piece, very cheap, very natural looking, no impaction problems, and best of all very easy to clean and keep clean. In nature they do live in rock caves, so talk about mimics, you should look into slate/ceramic tiles
As for the lil guy not eating in a couple of days, sometimes they will do that. The #1 thing to remember is to not freak out right away and start changing things, picking him up, taking him to vets, rubbing him with all sorts of magic oil and medicine, etc.. If you have the proper environment for him, it's best to leave it alone and you only really need to worry if he goes over 3 days without eating & pooping. You doing all that simply adds stress to them, and stress is what kills them more than anything.
Some of my leopard geckos do skip a feed or two, and I've learned over time to not worry too much about it because when they get hungry, they'll start eating. They're known to not want to eat before they shed and after they shed. They also are known to not eat when they are stressed somehow, and it's up to you to find out why as a caretaker.
Waxworms are not as bad as some people make them out to be. I feed mine waxworms a couple of times a week as treats. They are perfectly healthy as they are fed a balanced meal since I keep mealworms, superworms, and dubias roaches on hand. Yes dubias roaches is probably the most nutritious meal out of them all, but don't expect all leopard geckos to take on them. I have 2 that will absolutely not eat them. Sometimes, they simply don't like certain feeders. So rather than worry about them not eating dubias roaches, give them mealworms and supplement with a waxworm to pack some weight on the lil guy. As long as you dust your feed properly with multi vitamins & calcium, they will do fine.
By the way, take a pic of your tank, it'll help us understand your setup better. And good luck, remember sometimes doing less is better for your leopard geckos.
