Actually, they keep the same scales that they are born with, but the shedding of the skin is due to growth. As the scales get larger they need to shed off the old skin. Typically leopard geckos eat their shed skin. If you see little pieces of skin there is nothing wrong, it just means that there wasn't enough humidity for them to shed all in one piece. Loes like it on the dry side anyways. And they eat their skin to get extra nutrients.

Shedding skin is a natural part of every Reptile's life. They shed because their scales do not grow with their bodies, so they just lose their old scales and replace them with new ones.

Just like humans get dead skin.