Most likely it's scratches inside the eyelid which can make it feel just like there is something in there. For this, use eye drops.
If it seems to move from place to place or you think there may be actual sand in there, flush your eyes with running water. The eye wash stations at work call for 15 minutes of flushing. Anyone who's been to one of the gulf wars is really familiar with this. Sand in the eyes, ears, teeth, hair, you name it.