I'm a new budgie owner too so I might not be completely right about this, but I have one budgie who chews the sandpaper around one perch. He chews all the other perches too and the food cups. So your budgie chewing the sandpaper might not be about wanting sand, it could be chewing for fun. I also have grit in the cage, the birds aren't really interested in it though so I haven't taken it away after discovering that it might be harmful, if they're eating it at all they're not eating large enough amount to be useful. I've read that budgies can try to replace their nutrition with grit if they're not getting enough food, could it be that? If he's eating a lot of the grit I would take the grit away and only give small amounts (it may or may not be useful but in small amounts it shouldn't be harmful, either).