Please don't consider this to be an expert opinion because it's not, but here goes anyway. I'd go with the lead shot due to it's higher density over sand, though some use both. Though it might be obvious, the larger the designation the smaller the shot size (number of pellets to the ounce?). Number 11 is the smallest I remember ever seeing, though something like number 9 might be easier to find. My guess would be to buy the smallest shot available as it will settle more tightly. Hopefully someone with first hand knowledge will correct me if any of that is wrong.
