With sand or gravel I just run water from the garden hose into the open bag to get rid of the finer particles...that's about all you need to be worried about. The sand and pea-gravel is usually moist to wet when you but it. If there are a lot of fine particles in it, it may set pretty hard like cement after being heated up a lot if you don't rinse the fines away.
Any course play sand you find at home centers and hardware stores will work. Pea-gravel does a good job as well...nice part about pea-gravel is that there are less fines to deal with when you rinse it. The only time I've had trouble with pea-gravel setting-up in the pan is if my foil leaked drippings...it can set pretty tight in some spots then.