I just use a large plastic container from the dollar store. The sides are about 2 inches tall. I put a couple of cups of sand in there and they jump right in. It takes about two days for them to empty it.
They lay most of their eggs in there. They also poop in it, so I'm okay with adding more...
That's what I do, too. At my HD, near the cement there is a coarse sand meant for concrete and a finer sand called "play sand." The play sand is finer and drier, so I get that.