Before filling with sand, there should be water at least covering the laterals in the tank so that sand will flow under the lateral. I usually add more than that to be sure.
Yes, the valve is removed, the water added with a hose or bucket, the sand poured in, the valve re-installed, system plumbed, then you backwash the filter before using it to filter. There is a lot of very fine material in the sand that will get through the laterals and into the pool if the filter is not backwashed first. Watch the sight glass. It will look brown at first as that debris goes through, then it will appear white. That's when the backwash is done. Even then, you may get a little back into the pool, but not enough to worry about. You get used to it and your cleaner will clear it out.
