Yes you do! Play Sand is a sand that has been tested and certified safe for use as a play medium and play surface. This means it does not contain any sharp stones, glass etc and is free from any chemical residue.
Buying a play certified sand means you can be sure you children will not come to any harm when they are handling or accidently eat some of the sand in their sanbox. Also most play sand will not stain your childrens clothes, which means they will also stay clean when playing!