You'll hear both sides on this issue. Some say the fine dust is a great thing cuz it's easier to "enliven" so to speak, some swear it's nothing but a headache. Either way you're going to have a cloudy tank for a few days, maybe even more depending on the size of the tank. Like anything else in this hobby, patience is the key.
Personally I wouldn't rinse it, but again, you'll hear both sides. My friend Joe just finished putting several hundred pounds of sand in his new 1650 gallon shark tank, the cloudiness was driving him nuts (and this wasn't even southdown) he found that old tee shirts placed under the returns of the tanks acted as super filters and cleared his tank up really fast.
Hope this helps.
Later and good luck,
Paul