If you are adding bagged dry sand to an existing system, I would rinse it as well as possible to try and not get a sand storm.
I'd have to disagree somewhat here -- it is usually recommended (at least with dry aragonite sands, such as Southdown), to not
rinse. The silt-like grain sizes are a very important part in the composition of a DSB
, for the reasons that Nikki pointed out.
Re: adding the sand - I heard someone on this forum once suggest to wet the sand, and then freeze it in pie plates. Remove chunks of the frozen sand and place on the bottom of the tank. It will 'thaw' without considerably clouding the tank. I thought that was an awesome suggestion.