Golden Headed Sleeper Gobies tend to get fairly large. Many of them also display the habit of scooping up a mouthfull of sand, climbing halfway into the water column, and releasing the sand from that height - thereby scattering the sand as you heard over corals and live rock. Not all of them do this, however, and if yours hasn't started then you may have gotten lucky.
I personally wouldn't keep one in a 29g tank if only for the size issue. Many will accept supplemental feeding with mysis shrimp and pellets, but the final decision comes down to size. If you decide to take him back to the store, you could consider a small diamond goby, or more preferably a classically "nano" species like a Twinspot Goby or Hector's Goby Both are known sand sifters, and the Hector's goby will also pick at filamentous algae.