I had one of the best sleeps of my life on a bed of soft sand, in the curve of a dry creek that I really should not have slept in due to flash flood risk. Since then I've wondered if ancient people might have made mattresses of sand, but they were so simple and evanescent that they left no trace.

Accounts by westerners enslaved by nomadic tribes (when they shipwrecked on the coast) often talk about looking for sand to sleep on, especially when in the rocky parts of the Sahara, so I’d wager humans have been sleeping on sand for a very long time.

Sand is a pretty good heat conductor. It’d probably be ok on hot nights, but not so much in winter.

Possibly - but if they transported the sand to where they slept very often, that would show up in archeological digs.