Yes, we change out the sand every year.  We did 1 large bag, 50 lbs, and it was about $5? Washed, construction grade sand, not "play" sand (which is very fine, and can lead to respiratory issues).  The large bag covered the concrete floor of our 5X8 foot coop with about 2-3 inches.  I would do as much as you can over a dirt floor, depending on drainage.  (if you have a leaky coop, or your birds are inside all the time).   I do have a ladder that leads from the roosts down the floor, so the heavier birds don't hurt their feet hopping down (I noticed some limping from my hefty gals before the ladder). 
Every morning, I would just scoop up the poops with a kitty litter scoop.  It takes about a minute.  It's really nice for when the chickens come inside from the rain to lay their eggs, as their muddy feet get cleaned with the sand.  Yes, they do track the sand into the nest boxes, but it's easy to wipe it off the eggs.  I have old mattress pads as nest liners, and I just shake those off (no more sand), wash, or throw them away.
I'm *absolutely* not getting into the sand in the coop/straw debate, as far as warmth, etc.  We don't get that cold here.  We have triple insulation, pretty mild temps, and my coop has never dropped below 32 F (I know this, because the water has never frozen).  If I were in South Dakota, I would consider other methods to raise the coop temp, I'm sure!  If we have a big cold snap, my boyfriend will bring the hens in the bed with us, if I let him.
People always ask what to do with the old sand when we change it out?  We just pile it into the wheel barrow, and drag it to a low, muddy spot in. the back of the yard. 
I hope this helps!