It's best to use sawdust as bedding, and it's specially bought sawdust, not sawdust from a furniture factory, because it's unsanitary.
You are talking about bath sand, not ordinary sand, unless you go through a detailed disinfection and sterilization process. Hamsters have specially bought bath sand to bathe mice.
If the mouse feels cold, tear him some tasteless paper towels with better quality, or go to the drugstore to buy medical absorbent cotton.