There are a number of ways to get a sand texture. I would recomend that you start by practicing on a scrap sheet of drywall or plywood.
Sand texture is available at any paintstore and can be added to any kind of paint, but it sounds like you want something that has some "body" to it. I accomplish this by mixing latex paint and pre-mixed joint compound, then adding sand to the mixure. A note here is that it will look a little different when it's dry as opposed to when it's wet, so I would do my test peice and either dry it with a hair drier or wait for it to dry by itself.
Some other tips. Make sure you mix enough texture to do the whole room, as if you run out, the next batch will not look exactly the same. You should also know that this mixture will not "keep", it will go bad within a week or two, after that, you really don't want to use it in your home.
Also, this texure is, for the most part, permanent. It will be difficult to remove it, so be certain that this is what you want to do. This texture will not stand alone on walls, you'll need to paint it, starting with a good quality primer. I would recomend Benjamin Moore's "First Coat" and follow with something from Moore's "Regal" line of paints.