I almost went that route, but they're even harder to keep than other species that are aquacultured.
I found this online store to be helpful when I was considering:
http://www.saltcritters.com/dwarf-seahorses/
No sand would be better since you can get rid of waste faster/easier. You have to account for them getting sucked in the filter (if they're that small, or they're offspring if they breed) and if they wrap their tails around the heater.
Also, like their advice says you'll always want baby brine shrimp food on hand (hatching every day or two).
Macroalgae makes up their natural environment, not corals, so make sure to have lots of macroalgae and non-stinging corals (if you're getting corals).