I was going to put sand in my coop, but BYC advises not to because of our long and often brutal winters. The sand can get too cold for their feet. I am going to put it in my run, though. You're lucky!! Wish I could use sand, but will be using pine shavings instead.
I changed my brooder litter to sand after one week. Best change I ever made. They are now out in their coop with sand and they love it. I, too, have heard that it's not good in winter, but the key is to keep the sand dry. Also, we plan on keeping the coop between 35-45. The pine shavings were just not good for me.