I use pine shaving on the floor and hay in the nest boxes. For Three reasons. One: I don't want my hens to confuse laying eggs in the nest boxes with laying eggs on the floor. Which by the way could lead to egg eating. Two: hens like to rearrange the bedding in a nest making manner. They can't do this with shavings. Three: I like to let my hens brood eggs. It just seems to me they can do that better with hay for keeping the eggs warm. Seemed to work pretty good as I had a Dom. hatch 2/2 in weather that went below zero this past winter.
Of course the choice is yours.
I'm a newbie so take my answer for what it's worth. I put shavings on the floor and straw in the nest boxes. Of course none of mine are old enough to lay yet so I don't know what they prefer!
from Ohio's Mid-Ohio Valley. Hello, I'm Marie, nice to meet you! I put layer of straw - about 1" deep, in my nest box, helps keep the eggs clean & gives a soft landing too.