I use the sand-in-wet paint, epoxy, varnish, etc etc trick all the time. Works great!
Only caveat, noted above, is that the sand MUST be CLEAN and Sifted.
I tend to use a small bag of "Play Sand" from Lowe's,. Home Depot, Ace, etc. It is already clean and sifted, and has one of my favorite qualities... relatively cheap!
What I most often do is to paint the overall area and let that dry/cure. Then, I tape off the intended non-skid area, then apply a coat of paint/varnish/whatever. Soon after application, I sprinkle on some sand, varying the amount of sand according to how aggressive a non-skid I want. My favorite "tool" for this is an old Pint paint can with some small holes punched in the top. An old (big) salt shaker works well too (just don't confuse salt and sand... confusion causes unpleasant surprises whether painting or eating
It has become a habit for me to later overcoat at least once or twice (after brushing or vacuuming off the excess sand after the first coat drys).
FWIW: this also provides a nice, slight contrast in color even when using the same color as the base.