There are two sand mines. In the Nether, take the W passage to the intersection (this one is unprotected). Grey has a monster sandmine I think at the NE passage (or out that way). I believe he has signs posted. (
Update: Never mind. See Grey's directions (below) to his mine.)
If you're unfamiliar with the Nether hub, go to the Space Needle and go down to the Nether Portal. I would suggest exploring the hub as it is the transportation system to the outlying areas, including the sand mines.
The hub expands out N, S, E, and W with portals at the 8 major compass points which got to most of the mines, traps and flower farms. Each intersection also houses a ladder down to virgin nether. (If you want to hunt the Nether, please do so away from the hub. We decided to maintain the pristine visual appearance of the nether inside the hub, so please don't mine any resources in there.)
Both sand mines can be mined until you're sick of it, so knock yourself out.
Also, if you haven't seen it, yet, there is a
map of our world to reference.