Hi, harriethen, I've not long started keeping hens and I am learning something new every week about chickens.
I use wood shavings and straw in the actual run and just shavings in the nest box. I find it is easier to clean the nest boxes that way.
Just recently purchased some wood shavings from Pets at Home and I'm not that pleased. There seems to be a lot of small pieces, almost dust like. So I am reverting back to my original supplier, even though its further away from where I live.