That's why I put it on their food... without a hen to show them what to do, they don't seem as inclined (from what I've seen) to eat grit until much older.
I believe play sand is fine? Not 100% sure as I don't use sand in any capacity and I don't know what specifically goes into "play sand" so you might want to do a forum search to see if you can turn up any specifics on recommended types of sand for chickens.
For grit (and I know different...
Chicks are curious and things like other chick's eyeballs, toes, feathers can be very peckable looking. As long as it's not bleeding or being stripped bare I wouldn't worry about it too much.
You can give them a dust bath if you want, they'll use it when they're ready to use it (no real set...