I pushed mine down into the sand until I hit bottom. But, my tank is small and I am not making huge piles of rocks.
If I was to build large structures where rock was piled up, I would have put the rock down before the sand to insure lots of support.
If I were you I would be sure my structure was completely safe and secure. Avod the "awkwardly balanced rock" look. It is unatural looking and I had a friend loose a couple of fish and severely scratch his glass because his kid bumped into his tank hard enough to cause his rock structure to collapse.
Hardware: 37 gallon SW
tank and stand by Oceanic Systems, Magnum 350 Pro Canister Filter (half carbon), CPR Bak Pak 2R skimmer, Maxijet 1200 Powerhead, RenaCal 150 W heater, Compact fluorescent lights with moonlights. 40 lbs of liverock, 3" sand bed.
Software:2 Tank-Raised Ocellaris Clowns, 1 Purple Firefish, 1 Electric Orange hermit crab, 18 Blue Legged hermit crabs, 8 or so Nassarius snails, Xenia, Blue, green, and Green Striped Mushrooms.
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Central Illinois Marane Aquarist (CIMA) member.