My reason for rock work first is this. If you get anything that likes to dog or play in the sand or sift through the sand your gonna want your rock work stable and not built around your sand bed, make sense?
If the rock work is laid down first and something later disturbs the sand bed there is a less likely chance of rocks becoming unstable.
Rock work down first. Then sand in and around. You can use a a very fine paint brush to blend the sand in. You can move the sand around with the brush and it will come out better then using your hands IMO
The paint brush can be your best friend. Besides its a work of art right?