I've never tried it, but the sand where I grew up has enough iron particles I'm surprised it's never been mined.
My only idea that might work for large quantities is to get a couple of today's VERY powerful magnets, the large kind, like they use to retrieve stuff from lakes. Take a piece of 6 inch or so plastic pipe, 3 or 4 feet long, put the magnets on the outside, halfway down, and stand it on end. Put a funnel in the top, so the sand will pour in a thin stream, down the middle, and pour the sand through. The iron should be pulled to the side, and stick to the magnets, if the stream isn't so dense it carries the iron with it.
When a good bit piles up, remove the funnel, put the pipe in a pan or bucket, and remove the magnets.
A more elegant design would use a rectangular pipe, wide enough for the entire end of the magnet, and pour the sand in a thin sheet down the center, which would allow more sand, but a less concentrated stream, and give more effective area to catch the iron.
Either way, the iron will never contact the magnets, so there's no problem getting it loose.