I use woodshavings, they're special birdie ones, $10 for a huge compacted 20kg bag that lasts forever from my local feed store. Cleaned out weekly.
I also have a grate, but have never had any problems with it, they both have beautiful feathers(except for Mali who's still trying to grow her last 2-3 tail feathers at 14 months old), not ratted up from the grate, and not getting stray poos stuck in their feathers from me not getting to clean it up in time.
I love the colour of it too, I know that shouldn't have anything to do with it, and it doesn't really, but it makes the cage quite nice and bright, a nice added bonus