I've been buying kiddie play sand at HD or Lowe's, only because I don't have any good sandy spots in my yard that I want to dig up right now.
If you have clean sand in your yard that wouldn't be contaminated with anything potentially harmful (no pesticide or fertilizer runoff, for example), I don't see any reason why you can't just use that.
I guess the other issue might be parasites/microbes that would cause diseases. If you have chickens or other poultry, or a lot of wild birds using the sand collection site, they might leave disease causing organisms in the sand. There is an easy solution to that, though, just bake the sand in a medium hot oven (350 degrees) for about an hour. That will kill any disease organisms in it.