According to Wikipedia, the legends of the Kabi people tell us that "the dunes were coloured when Yiningie, a spirit represented by a rainbow, plunged into the cliffs after doing battle with an evil tribesman". The beauty of Yiningie is represented in the approximately 74 different coloured sands that can be found on along the coast.
On our recent visit my son set out to collect as many different colours of sand as possible. Our first effort wasn't very successful due to poor preparation- we only had a beach bucket and spade. A helpful tip if you are looking to collect sand is to bring zipper seal plastic bags to keep the colours separate.
We had a great success collecting sand from the cliffs along the patrolled beach but to see the true beauty of the sands you need to head south approximately 2 km. You can walk along the beach but take care as it is accessible by vehicles and not everyone is on the lookout for beach pedestrians.
Alternatively you can take a guided 4wd tour along the beach to the sands. Tour operators vary and you may not be able to have time to get out and gather sands for yourself. It's recommended that you check ahead with the tour operator if you want to collect some keepsake sand.