How do I stockpile Sand?

By default, bags of sand are stored in a Furniture Stockpile. But you can also mess with the stockpile settings (q, cursor over the stockpile, s) to restrict your stockpile to only sand. Under the "Furniture/Siege Ammo" category, sand types are under the "Metals" settings.

On another note: if there is exposed sand on your map you can tell your dwarves to gather sand (so you don't always have to buy it from a trader). You need to set up a zone over the sand on the ground and designate it for sand collection. Then, at a glass furnace, issue the collect sand task.

It appears to have been moved as of 40.08 (probably earlier, but this is the first time I've tried to find it recently...)

I found it in "Furniture/Siege Ammo" => Type => "sand bags".