Either way is fine.I have a concrete floor in my coop and have been using pine shavings. If I switch to horse stall pellets I've heard to wet it first? And how deep a layer should there be? Thanks.
If you get the pellets wet, they will fall apart into sawdust. If you leave them dry, they will stay as pellets until they do get wet (from chicken droppings or spilled water or any other source.)
Chickens do best with dry bedding, so if you use water to make the pellets fall apart, use just a small amount of water, and depending on how wet they get, you might consider letting the sawdust dry out afterward before you put it in the chicken coop.
For how deep the layer should be, that will partly come down to your own personal preference. At a minimum, the bedding should cover the floor, and deeper is nice because chickens like to scratch and dustbathe, and because it is softer for their feet than the concrete you are covering. Some people take out the old bedding frequently and replace it with new bedding, and they usually keep it fairly shallow (maybe between 1/2 inch and 3 inches). Some people keep adding new bedding, trying to add it at least as fast as the chickens dirty it, so the overall mix does not smell but keeps getting deeper and deeper. "Too deep" is when it causes problems like you bumping your head on the roof, or the chickens bumping their heads on perches or nestboxes, or the bedding falling out when you open the door (a board across the bottom of the doorway can help keep it in.)