The sand stays dry, mainly because I wrap my run in clear vinyl shower curtains. This keeps out the snow and the cold wind. I put down straw on top of the sand, as the ducks don't like sand, and that did make a mess. By the end of the winter, the layers of hay created a stinky mess. I had to remove all the hay (which had now become serious muck) and I brought in 2 yards of sand. This winter I am thinking of covering a portion of the sand with weedblock, and put the hay on that. This should keep the hay from mixing in with the sand.
I buy my sand in bulk from a local hardware center. You can also buy it from quarries or cement dealers. I put in 3 yards of sand, which is 6000 lbs. That would have been 120 50lb bags, which would be $400 from the local blue or orange big box store. Buying in bulk it was $90. I have access to a dump trailer, so getting it home was no issue. So if you need more than a couple of bags, consider checking around for delivery from a landscape company etc.
As for the type of sand, the courser is it, the better it will drain, and is less likely to turn to mud. Good luck! Sand was the best upgrade I have made to the coop.
