Thankfully, this has never happened to me.
But if it does, how should I treat it - both immediately, and in the longer term?
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Leopard geckos drop their tails only under extreme stress (life or death situations - as judged by the gecko). It's a move designed to distract predators so the gecko can escape. They lose a substantial amount of fat reserve doing so, which is why it's only under extreme circumstances.
The tail is dropped by means of a sphinctre muscle in the tail contracting and severing the connection between two vertebrae. After the tail has dropped, rapid vasoconstriction happens throughout the leo's entire system to limit blood loss.
1. Let the gecko calm down.
Since gecko tails are designed to autotomise, there is unlikely to be significant damage caused by leaving the gecko for 30 minutes or so to calm down before handling it. Remember that tails are only dropped under extreme stress, so the gecko is likely to be really flighty and panicky.
The only exception I'd make to this is if you keep your gecko on loose substrate, like sand - in which case, it's probably better to move the gecko somewhere that the wound can't get dirty first. Even if your gecko shares a viv, it will probably be okay for 30 minutes (but stay nearby so you can keep an eye on them).
2. Treat the wound
3. Keep it clean
Move the gecko to a new, clean vivarium (or clean out everything in the old one) to prevent infection. Use kitchen roll (paper towels) for substrate whilst it heals, and replace/replenish them frequently. Don't use loose substrate of any kind - you don't want to risk it getting in the wound.
That includes the moist hide - use paper towels in there too in place of sphagnum moss or coco fibre, just until it heals.
1. House the gecko alone.
If you keep multiple geckos, you really should have a spare viv in case of emergencies like these. Either use it or get one - the injured gecko is too vulnerable to be kept with other geckos at present. (See the final section for whether you want to put them back together at all, as well.) Keeping the gecko alone also ensures you can keep a closer eye on what it's eating.
Make sure the new tank is somewhere safe and quiet, too, to help the gecko feel safe and recover quickly.
You might also want to consider rearranging the vivarium if necessary. Contrary to popular belief, leos can be great climbers. But without a tail the gecko will have a reduced sense of balance and will be less able to climb and jump.
2. Feed it up
Your gecko just lost significant fat reserves and it will be crucial for it to get regular meals, because it has nothing to fall back on. Not to mention that it needs a load of extra energy to replenish its reserves (i.e. grow a new tail).
Wax worms are great for weight gain, but they are not very healthy due to the high fat content, so do mix it up with other food sources as well. I've heard tales of leos getting addicted to them as well, so mind that.
In general I would say just keep a really close eye (weigh your gecko and make notes on what he or she eats, if you're not doing so already).
Also make sure you're providing enough calcium - this site suggests that hypocalcaemia can delay the healing process.
3. Feed safe food.
Crickets are known to nibble on exposed gecko parts like toes, eyelids and wounds. I would recommend not feeding crickets at all until the wound is healed (there are plenty of other foods you can try, like Dubia roaches, locusts (hoppers) or mealworms), but if you must do so then do it under supervision and be sure to remove any that don't get eaten - and make sure they don't hide in the tank; we had a load that crawled into the gap between the foam backdrop and the glass...
4. Keep an eye on the wound.
Watch for signs of infection (swelling, oozing, redness) and if you see anything and you are already applying disinfectants or antiseptics (or applying them doesn't help), take the gecko to a vet immediately.
The biggest part of this is understanding why your gecko was so stressed it had to drop its tail, and making sure it doesn't get that stressed again.
If you were there at the time, you probably know why it got that stressed - did you handle it really roughly? Did it fall? Did it get picked up too roughly, or grabbed by the tail? If a child was too rough with it, you need to impress the seriousness of careful handling on your child (and explain it's distressing to the gecko, lest they are fascinated by the autotomy response...) and/or limit handling time.
If you weren't there, there are a number of things that might have happened. Is the gecko housed with other geckos? Perhaps they fought, especially if one is a lot smaller, or if both are male (pet shops are notoriously bad at sexing geckos, so have a look, even if you were told they were both female). Check the geckos for other wounds that might indicate fighting. Do you have other pets? Perhaps a cat or dog got too close and/or put a paw into the vivarium, and frightened the gecko.
If you were there but you didn't see anything out of the ordinary, it's possible that the gecko is either very stressed in general, or that you are missing stress signals from the gecko. Does the gecko inhale/exhale rapidly (watch its chest) when your hand approaches? Does it wriggle violently when you pick it up? Does it try to attack your hand? These are all signals that you should be backing off and attempting handling at a later point.
Take a look at your temperatures (at both ends), humidity levels, level of ground cover and lighting, to make sure that the vivarium environment is suitable for your gecko and it isn't being stressed out due to poor living conditions. Google some leopard gecko care sheets and check that you've not got any misconceptions about how to keep them.
This site suggests that another reason a gecko might drop its tail is that it has an already-lowered immune system, or an infection of some kind. So consider taking your gecko to the vet for a general checkup if you don't know the reason for the tail drop.
A dropped tail is a warning sign that something went wrong, but it's also entirely natural. As long as you work out and treat the root cause, and make sure the wound stays clean and the gecko has enough to eat, it should regenerate a healthy new tail. It won't look quite the same as the old one, but should function just as well.
Evaluate your temperatures and humidity to make sure the environment is ideal. Tail loss and regrowth is stressful and you want to make sure conditions are ideal for your gecko. Additionally, improper environment can be a source of stress that could contribute to tail loss in the first place.
Make sure the gecko is eating well; you can ramp up the amount you normally feed a bit since tail loss is stressful and also means loss of the gecko's fat stores. However, make sure crickets (or other prey) not eaten within about 15 minutes are removed from the tank, or the crickets may try to nibble on the gecko.
Once the tail is lost they can no longer store fat (until it grows back) and thus are more prone to starvation. If the gecko lives alone the only thing you need to do is make sure that he/she is fed well and kept warm enough. If the gecko has cagemates it is best to separate him/her from the others so you can be sure he/she is eating enough and is not getting picked on.
It will be more bulbous and more of a solid color. Once it has grown back all the way the lizard is as good as new and may rejoin its cagemates.
The tail can be kept on by not bothering the pet or agitating it unnecessarily. If you have questions ask your vet.
These reasons can make the tail fall off again:
Its tail being grabbed.
Being bullied by other geckos sharing its tank, or by other animals.
Stress/fear. This can occur in many areas so watch your pet. If you're really worried about your pet, opt for relaxed environments, house it by itself and watch who you let around it.
Illness and Infections. This can be controlled by monitoring your pet and vet visits.