I have never fed grit before, but my birds were always on pellets.
However I just switched everyone to their show diet of straight, whole oats. They needed the extra sharp edges of the crushed granite grit to digest the whole oats properly. Sand wouldn't have sufficed, although I can't be certain since I haven't used it. However, I would personally rather spend the extra money to ensure that my birds are getting every bit of nourishment from the feed I give them.