I'm going to set up a 15g tank with sandy substrate as well (planning to do it tomorrow; first time, so I'm equally n00bish as you are
), and people advised me to mix the sand with some gravel, so it won't whirl all over the place when a fish freaks out. After placing the substrate, just install the heater and filter, and let it run for a while (few days), before proceeding to the next step (plants, rocks, wood), so the sand can form a firm layer...
I'm not sure if playground sand would be a good idea btw. (chemical make-up...), but I don't know you're tank size either: could be pretty costly to fill up a large tank with sand... I just bought sand and gravel at my lfs - about 3 bucks for 10 kilo's sand...