You can also "wash" the sand... put it in a container, and fill the container up with safe fresh water. The sand will stay in the bottom, but the "dust" will cloud the water. Dip out the water from above the sand, then repeat. After a few times you will have gotten most of the tiny stuff out of it.
If it's live sand, you might want to make sure the water is at the right temp... I don't know that this would matter, but no harm in being cautious.