Should I add play sand to paint for outdoor wooden stairs?

I'm assuming you are adding the sand to the paint for traction. In most cases I don't think you would need to. If you are worried about the stairs being slippery than that would help. There are specific sand additives designed for paint. One is called Skid-tex made by Zinnser. Either way it won't take very much sand to achieve the desired effect so use it sparingly.

I think it would look nice

You could iy would look nicer