For larger amounts of sand, a sand and gravel dealer is definitely the way to go. It's a lot cheaper than play sand. I've used play sand when I just need a small amount of sand for a project. For large projects, we've taken our pick-up truck over and bought a load.
Using deep litter and sand are different methods of managing a coop.
With sand, you scoop the litter every day like a cat litter box and every once in a great while change it out to clean sand.
With deep litter, you use a litter that's organic matter and compostable, usually wood shavings. Instead of cleaning out the entire coop weekly or on some other frequent schedule, you usually clean it out once a year. In between, you manage it by adding additional clean litter as needed.
You allow the litter to start breaking down and let the healthy microbes like those in a compost pile or on a forest floor work on it. You basically manage the litter like you would a compost pile, although usually not as hot as some compost piles are run. The coop shouldn't be stinky or something is out of balance.