If you want PFS, just look in the yellow pages (or google) for a pool supply store near you. I got a 50 pound bag for I think $6.99. Way cheaper than any of the stuff you'll find at a pet store. The only reason I'd buy sand at the petstore would be if you are unable to carry a 50 pound bag (that tends to be the smallest size bag PFS is available in), or if you are looking for something like a black sand (e.g. Tahitian Moon Sand, which IMO makes an awesome looking substrate).
I currently have a tank with dwarf puffers, I can't say mine ever showed any
particular interest in caves. Basically they like to explore and they like to hunt, so the more "interesting" your tank is, the happier they will be. Rocks, driftwood, caves, and plants plants plants will keep them happy. They also tend to be nippy and aggressive with each other, so lots of plants helps to cut down on that. (Piece of advice, if you get more than 1, try to get all of them approximately the same size. WhenI first got them I had two, one was an adult and the other a juvenile, and the adult was relentless in harassing the little one.)
Also, I don't think they care one bit whether the bottom is a gravel or a sand; they never spend time resting on the substrate. If you think there is some reason you *have* to have sand as a substrate, I'd be skeptical of whatever source told you that. I've kept DP's over both gravel and sand and never noticed any difference.
Definitely listen to "severum mama's" advice regarding the filters; run both filters on your established tank for a couple of weeks, that will give time for the beneficial bacteria to grow on the new filter, then you can remove that one and put it on your DP tank when you add the puffers and you'll essentialy have that tank instantly cycled, without seriously hurting the cycle on your new tank. Without doubt it's the best way to do it.
Last, just in case you haven't already discovered it, there is a must-read site:
http://www.dwarfpuffers.com/.
Enjoy, and keep us posted on your progress!