I get my pumice at the nursery but the distribution does not penetrate a lot of places, so you might not have that option. Consider a product called Dry Stall which you would find in a livestock/feed store maybe. You can pass coarse construction sand through a screen to remove the fines and arrive at a useful size for succulents. Avoid any sand that has wax or additives. Your local aquarium store may stock a good variety of gravel. Look for the kind called cinder rock, or scoria, or lava rock, which functions similarly to pumice. .
Wash whatever you get if there's any doubt.