Put the water and the corn starch into a medium sized bowl and mix thoroughly. Let sit.
If you're using a natural pigment like oxide, place oil into a ramekin and add the oxide powder. Mix well. In DIY cosmetic and soap recipes, this is called a "dispersed teaspoon". In these photos, I've used iron oxide powder (red) and chromium oxide (green). See notes below for information on staining and washing up.
Add the pigment to the corn starch mixture.
Add the sand. Mix well until completely blended.
If the mixture is too wet, continue to add corn starch by tablespoons until dry enough to stick together when squeezed in your hand. If the mixture is too dry, add a teaspoon of water until the moon sand is wet enough to hold together.