Yes, it is a good thing to have some live sand and rock in a refugium.
I have a CPR Aquafuge, with about 1" of LS and some pieces of LR rubble at the bottom, growing macroalgae out the wazoo.
Depending on the size of your HOB, I'm not sure that I would bother ordering extra LS & LR; just grab some from the main tank (which is what I did).