Albinos are indeed more sensitive to light. It's not bad to have light on at night, most people do and the leopard geckos do just fine with light in the room. If you however find your leo too shy due to the light, you can always cover the tank up a bit with towels, paper, posters, etc.. I find that they don't mind indirect light. Just don't have your room light shining on the tank and they should be fine.
I also have mine in my room and my 3 Raptors (Albinos) dont mind it too much. The one could care less the other squints a little every now and then and the other wont even leave his hid or eat when the lights on. So it varies from gecko to gecko but usually its fine.
Great! Thank you for the help.. I picked him up yesterday at a reptile expo..he seems to be adjusting to everything quite well. He's just not eating yet, but I'm sure that will come with time.