There are several ways I do it.
1) Put water and peat moss in a bucket, leave it out in the sun to heat up (the peat absorbs water better when the water's heated). Grab a stick and stir it up, mix in your sand simultaneously.
2) If it's cold, you can still get a stick and mix them all up, but it takes longer. Usually you will end up having to take and knead the moss like jimscott was saying. Make sure to squeeze the moss so that air comes out (basically it will feel dry and crumbly), and it will then suck up water better like a sponge. It also helps not to apply the mixture right away, but just leave it sitting out awhile to let even more water absorb. If water isn't throughly absorbed, your peat can float, and if it's that way in a bog setting you'll lose not only peat, but perhaps even plants (like I did with my first attempt) to a good rain.
The most important thing is to get the peat wet entirely (till it's very black and hardly brown at all). Also, if you're using sand it can often sink to the bottom and form a layer there, while the peat will float--just ensure you mix it thoroughly because if not you lose the benefit of aeration that the sand provides.
And plus, it's just plain fun to muck around in peat (except when it's cold... oh boy is that not fun) with your hands.