From what I understand, Geckos will actively seek out sources of calcium, whether you give them supplements or not. I have seen so many different versions of the same hooror story a hundred times, and for this reason I will NEVER use calci-sand. Please note this is a picture of an autopsy and its not pleasant.
http://www.avimedia.co.uk/other/necropsy1.jpg
Personally I use play sand with my collareds, and they poo it out once in a while. They eat like crazy, and they poo like crazy, maybe once a month I'll notice a sand-poo. I havent ever had a problem yet, so for this reason I'll stick to the play sand, as it appears its easier to pass through the system if ingested than the bark or the calci sand on the link above.
I have not kept a gecko in about 2 years, but when I did he always was kept on horse bedding, its kind of a green pellet, that is made of hay and wheat, it is 100% digestible, and nobody else seems to have heard if it, but it doesnt swell when wet and is made of natural, digestible material that turns soft when wet. I still use it for my timor now, and never had a problem with it, so if I ever bought another gecko I'd always stick with that.
Though the question was play sand or calci sand. I'd have to say play sand all the way.