Definitely "under." "On" would apply if the grass had just been cut, and someone picked up a bunch of it and dropped it on your bare feet (or put it down your neck!) - A.
"Under" would be the most common usage, especially if you are walking or running. But people who are "playing" in the sand often pour sand over their feet or bodies to experience the unusual feel. You'd need some context to make that clear. You can use other prepositions: "I don't like the feeling of sand between my toes or inside my underwear."