Last week, I made myself a sling and tried to bake some sand shot. I quickly learned that the sand I used was too coarse to work really well. About half of the shot crumpled while drying, but I had about ten left to shoot in the backyard. They really disintegrate on impact or even before, so there is little chance of damaging anything or hurting someone, although of course you still mustn't use them to shoot at people or animals. The projectiles were heavier than anything I had shot before and while I still have to work on my aim, they went a satisfying 40 or 50 yards.
For the next round, I bought chinchilla sand - very find sand that's sold for dust baths for chinchillas and other pets. That should solve the crumbling problem.