I have a pin cushion/thread catcher that I use all the time. I made a "inside bag" with a filler that looked like this:
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Then I secured the bag to the covering fabric on three sides. When I pulled the fabric to the right side - the "filler" stuck out through the hole through which I had turned the fabric, making it easy to fill and providing a secure bag to contain the sand/filling. Then a few stitches and the filling was contained. I actually filled mine with ground corn cobs (the mixture that is used for tumbling brass). I put tabs on the bag with Velcro - putting the loop side on the underside of the cushion and the cloth side on the thread catcher - so the threads/junk in the bag could easily be emptied.