You should consider some type of edging to keep the sand from spilling out. A layer of railroad ties would work well and then you could use panels for fencing. However, this wouldn't be a very solid/ safe fence.
One of the big issues with sand is keeping it where you want it, so you will want to think about edging whatever fence you choose. Cinder blocks are light & will move. If you stack them, they will need to be anchored.
Fencing is hard work, even in the flattest, softest soils. If you don't want to rent a post pounder or auger (pounded posts are more secure than tamped posts), or if you don't want to hire a fencing crew, then your cheapest option will he some sort of panel. The heavier the panel you can get, the better because they are less likely to move and be pushed around.
It's a great idea to put one together and probably better for your horses to he jumping and working on a maintained surface rather than just anywhere.