Was the sand dry or wet live sand? The dry stuff usually has very very fine silty dust and can be a real pain to get rid of. If you let it settle then it will only get stirred up again by your fish.
If it was dry sand and you're in the early set up stage I'd probably empty the tank and scoop the sand into a 5 gallon bucket. Then run the garden hose in it for a while (about 20 to 30 minutes). Have the hose on hard enough to really move things around but not enough for the sand to overflow out. Move the hose around in it every minute or two.