I recently purchased these sandbags for a light stand, not realizing that they would be shipped sans sand.
What kind of sand should I fill my sandbags with, and where (i.e., what type of hardware/landscape store)
Can I find some for cheap?
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You will want to use a dry sand or dirt free from organic material such as grass or leaves. Wet sand or dirt with organic material can rot and decompose creating problems with mold, mildew, or unpleasant odors. Dry sand can be purchased at almost any hardware store (Home Depot, Lowes, Ace, True Value...) and it has already been washed and screened for foreign material.
Small gravel could also be used, but will increase the stress on the fabric with the larger sized stones.
If you were fortunate enough to live in the southwestern United States, you could just dig some out of your backyard.
My two cents.
The sandbags are to stabilize your gear, not to be a burden. In my opinion, use whatever you have on site, little rocks, bigger rocks if you are on location. Beach sand if you are on the beach. Tools and bolts if you are in a workshop.
Yes, some materials can damage a bit of your bags. But I would not carry extra weight if traveling. To protect a bit your sandbag from sharp rocks you can put them inside another bag, use some of those socks that have not a pair anymore, or make an inner bag with a sturdy cloth like denim.
If you are in a studio, I would use small river rocks. Not sand. Sand is very abrasive. Some have a lot of dust*, and I do not want either of them flying around if I am using, for example, some wind machine. If you choose to use it, put them inside a zip plastic bag... But even then I would not use it.
You can buy some round river rocks on an aquarium or some home improvement store. You can give them a small wash before using them.
Some nuts and bolts are a good option, but a bit more expensive.
You also can use beans, but they are probably too light in comparison.
*Dust test: https://www.youtube.com/watch?v=_wpGGJ1uBbE
Sand has a nasty habit of leaking out through any seams in the bag and making a mess of things.
What you want is called "Pea Gravel." These are small rounded stones that you can fill your bag without any chance of them leaking out or tearing the bag. It's available in 50 pound bags at the hardware store for only a few dollars.
Another option - steel balls
Much heavier per volume than sand. Although, as @Rafael mentioned above, sometimes you may not want to travel with them pre-loaded because of the extra weight.