Just drain the filter and cover it. Don't dump the sand--it's not necessary and if you aren't careful you could damage the laterals.

I still have the same sand after 4 seasons and never dumped it.

Here's why I don't worry about algae: This week I added a quart of Polyquat algaecide (you don't have to) and I will shock my pool up to 15ppm just before I close it--so the filter will be sanitized. I'll drain it and cover it with a contractor's garbage bag and tape it tight around the neck and base. This makes it nearly air-tight but no tape actually gets on the filter, just the bag.
That's it!