Are you talking about water/sand/rock from the ocean? If so, that could be a bad idea, due to the pollution and other unknown substances.
If you are talking about store bought SW
/sand and rock, I would say, cycle your tank with the sand and rock. That is where your beneficial bacteria will reside.
You can use just sand or just rock, or both. Personally, I put them in all at the same time. I add the sand, then push the rock, so that it rests on the glass bottom. Others like to add the rock and then the sand, it is really a personal preference.