You can leave the sand in the filter.
Yes. Winterizing an above-ground pool with a sand filter is a straightforward job. The tricky part is making sure nothing freezes and cracks.
Here’s the short version: lower the water below the skimmer, balance the chemistry, add winterizing chemicals, backwash the filter, then drain the filter tank. Remove the drain plug and store it somewhere safe — you will find it in the spring. Disconnect the hoses and store them indoors. Cover the pump and filter with a tarp or a dedicated cover, but leave the drain plug open so any remaining water can escape.
You do not need to remove the sand. Just drain the water from the tank and let it be. The sand is fine over winter. If you live somewhere that gets deep freezes, also pull the pump drain plugs and store the pump inside if you can. A sand filter is lower maintenance than a cartridge system for this exact reason.
The whole thing takes an hour, tops. Future You in April will thank you.