Grate colored chalk into a fine dust. Mix with flour.
Stir the oil into colored flour until it makes a crumbly dough.
Once everything is incorporated, squeeze a handful. It should hold. If it doesn't, add more oil a tablespoon at a time.
Notes
Whole wheat flour will work in place of white.Any type of oil will work (baby oil, vegetable oil, avocado oil, etc.).You can also color the moon sand with chalk after adding the oil. It'll just take a little extra mixing.