Anything deep really. Some people also just pile up the sand in the corner and keep it a little moist or damp.
If using a box, ensure it is darkened but the bottom is clear so you can easily locate the eggs. I use deep chinese take away containers with a hole cut in the side just below the rim (so the lid can still click on). You can use a variety of egg laying mediums such as peat, moist sand, moss or vermiculite...it's your choice.