Sand is great, we had playsand & it was too light. I found that it took a while to settle after a water change and if you turn the filters on too soon after, they get sand in them...which you don't really want!
It's probably best to pay that bit extra for aquarium sand, like Diana says.. wash wash & wash again!
There is a bit of a knack to cleaning it without sucking it all up but what I do if i suck loads up is just wash it in a fine net & put it back in the tank.
I give mine a good stir with a stick once a week, you can get gaseous pockets that build up that are dangerous for the fish. A childs plastic rake from the early learning centre works pretty well
I have changed mine while the fish were in the tank but i'd not really recommend it. It's alright but you have to be careful, my fish seemed to swim over to where i was putting it in for a nosey. If you do decide to do it when fish are in, lower it into the tank with a jug really slowly