Most people put rock work in first and create the sea scape prior to putting in sand. Sand will move and shift over time, which will promote rockwork moving, if it is sitting on top of the sand it will be more likely to tumble over or shift later. Another objective for planting your rockwork on the glass is to try and set up the tank so there are less places for debree to get trapped. Whatever sand you end up deciding on make sure to wash it first before putting it in your tank.
Generally the larger grain sand is easier to maintain because it is harder for it to get in the watter column. Smaller grain sand is seen as more attractive (personal preference)... for me the additional task of blowing off rocks and corals (which I would probably do anyway if I didnt have small grain sand) is worth the beauty. Also consider if you will have creatures that will dig, they will make more of a mess with smaller grain sand.