Even preheated sand you should still cook in the oven. It's like buying mite infested wood shavings that are supposed to be "mite free". It's just better to be safe.
I'd worry about the sand getting into hard to clean places, especially for males. It'd also be possible for the sand to get stuck to some of the flakey skin that's on their backs when it's dry. Also, the sand would dry their already dry skin even more, so that's something to think about too. And what if they start using it as a litter box? And I agree that it'd be a messy process, with many potential baths needed, and more dry skin.