All mine love the sand. My robo digs and rolls around in it, so does my one Syrian. The other 2 Syrians dig in it and use it as a toilet
I've used tiny friends farm but it was quite dusty so I tried bird sand (fine stuff sieved to get the bigger bits out. But it has a funny smell to it, unfortunately I threw the bag away so I couldn't see if it was scented or not. I'm either going to try chinchilla sand, reptile 'desert' sand or play sand.
For the actual bath itself I used a plastic lunchbox with a layer in to see what they'd do. There permanent baths are a large lunchbox, chinchilla bath (metal), reptile water dish thing and today I picked up a can fridge organiser out of Aldi for £3.99 and it's about the size of the chinchilla bath and it's sturdy too. I've heard some people use large jars as sand baths too so be creative.