Adding "Height" to your tank. / your experience

I keep my leopard gecko (Apollo :smitten: ) above eye-level and it adds to the fact that the glass on his tank is basically blank and all his little hides are on the bottom. I have seen people add ramps and cave walls to the back. (I am interested in doing a DIY back wall) I suppose my questions are...

~ How often do your geckos climb up to higher places?
~ Where should I start adding height? Should I gradually add pieces or revamp it all at once?
~ Higher levels, chance that gecko will burn? (I use a light in my UTH are)