Sand Cleaning

Yes, you do have to wash it. Some brands are worse than others but most have a lot of dust in.

Put some sand in a bucket and run water into the bucket. Swoosh up the sand and water, let the sand settle for a few seconds then pour off the water. Add more water and repeat until the water is clean after stirring the sand.
Put this batch of sand somewhere (in the tank since you have nothing else in there yet) then do another batch of sand. It could take quite a while to do enough sand depending on how dusty it is.

The only time I would not do this is if the sand is a special plant substrate with fertiliser in it.



Cleaning sand during a water change when you have fish is different from cleaning a tank with gravel. I'll explain that in another post 

I should add that the water might still be a bit cloudy after you fill the tank. Don't worry, it will go away and won't affect the cycle. Some filter wool/floss in the filter can help catch the small particles which go through sponges but don't be tempted to use one of those chemicals that are supposed to help clear cloudy water. They work by clumping the tiny bits into bigger bits which can be caught be sponges but they don't do fish much good, and there could be some left in the tank when you get fish.

That should catch any sand dust left after washing.
It's only the really light stuff that will stay in the water, the heavier dust will sink to the bottom.

...think I am going to have yo buy a couple more buckets. 

Forgot to mention earlier to make sure your fish buckets are kept separate form floor scrubbing/car washing buckets. The last thing you need is to find your fish buckets are coated inside with the remnants of car shampoo