I've always used the bags of pool filter sand that you buy at Lowe's or HD. It's a lot, more than you'll need for this, but unless you know someone who has coarse sand on hand to give you, it's the only way to go. Be sure not to use play sand, the kind used in kids' sandboxes. It's like beach sand...too fine and sometimes contains salts.
The best I ever used came from a landscaping company that supplied gravel for cement companies. They carried a mixture of coarse sand and very fine gravel. It was perfect for CPs.