I like the Caribsea Eco Complete African Cichlid sand and there is another company that makes a sand specifically for africans. I cant remember the name
I have a few inches of play sand, capped with an inch of this Eco Complete African Cichlid sand in my 150g Malawi tank. It works out really well, but does slowly mix over time. I'm very careful with my water change siphoning, so in my tank it's really only mixed where the cichlids have dug under rocks or chose to make pits.
Sand is definitely the option preferred by African Cichlids, but there's many options as far as what kind of sand to get is concerned, and cichlids are cool with pretty much any of them. If price is a big factor, play sand is the most economical option. If price isn't a big deal, and you're looking for something that is supposed to help buffer the water and what not, then you'll be looking at sands by CaribSea, and other specialty sand manufacturers. If you're looking for sand that's nicer looking than play sand, but not as expensive as specialty sand, pool filter sand is a nice option. These are the 3 that are recommended most by far in every "what's the best/right sand" thread, but there's also a bunch of other options that would work just fine in an African Cichlid tank.
Tell us a bit more about your price range, what color sand you'd prefer, etc. and we can give you recommendations better tailored to your tank specifically, rather than just what we happen to prefer for our tanks.