calcium is more important in the winter, when chickens don't have access to grasses and greens, which pack quite a bit of calcium.
First eggs are often shell-less, or such a thin shell you can't pick them up. Quite normal, and you'll see improvement.
Having said that, it is a good idea to keep some oyster shell around- your hens will help themselves as they see fit. Cheaper, but more time consuming is the feeding back of eggshells - some people go to lots of trouble and bake them first! Easiest is to just collect eggshells, and then take a rolling pin to them, or stick them in a bag and whack away with a peanut butter jar (assuming you can find a jar, not a plastic jug!) or whatever is handy. They actually will eat the egg shells without them being crushed but there is a theory that you dont want them to connect what they are eating (egg shell) with eggs they lay for obvious reasons.
Happy New Year!