Sand is a tricky substrate to work with. Uro's are pretty large as adults, so they will do fine on a substarte of fine grain sand. (the larger the animal, the easier it is to pass some sand in some cases). If you are starting with a baby or yearling, keep it on newspaper for now, as the young are eating a more insect to greens diet. Feed greens in a dish. When adult, they tend to eat more greens, so as long as it eats in a dish, he won't get any sand. If you are willing to feed the Uro in a seperate box/tank without sand, it will be fine for the Uro to be sand always.
Calcium sand-I have read that these work well, but some herpers have said they caused an imbalance of calcium in herps if digested too many times.
Walnut (Crushed)-I have tried this item with my Bearded Dragon. It caused stains on his underbelly where the shells were wet. I have heard the these shells may be able to cause cuts in the mouths of animals when accidentaly eaten.
Your best bet, lithopsboy, if your Uro is younger, keep him on newspaper. It won't be as natural as sand, but it might help out in the long run. Besides, it is easier to clean-just remove the paper and add new pieces. If your Uro is an adult or larger, smooth sand sounds ok. Check the Uromastyx page on kingsnake.com for more help.