I would advice not to put sand in. I heard recommendations to do so, to make clay more loose, but I have a place in a garden where sand was piled, and it did not improve anything for the better in that spot, quite the opposite. What works best for me is adding compost ground (own or bought), manure is good too if you can get it, but imho compost is better.

Also, with clay it is very important to be able to reach every place in your bed from a path/stepping stones. Otherwise if you have to walk especially on a wet clay, it gets compressed into a concrete, which is very difficult to loosen up again.

Clay plus sand equals concrete. Adding sand will make it worse, not better. While it is a possible to lighten a clay soil with sand, you have to add so much more sand than clay that it is simply not practical to do. You would actually end up removing most of the soil present to make room for the additional sand.

What you want to add is lots and lots of compost. Compost actually improves a sandy soil or a clayey soil. It improves an alkaline soil as well as an acid soil. It is truly wonderful stuff. You can use any kind, compost from your own bin, community yard waste compost, composted horse manure, what ever is available to you. Bagged compost from a garden center tends to be only forest products, but it would be better than nothing. Then mulch with some kind of organic material after you plant the rose. This will slowly decompose to continue improving the texture of your soil.

Rosefolly

Elemire and Rosefolly are correct about sand. Don't.

Peat moss is probably not the best choice either. Dig 3" of compost or composted manure into the upper 10-12" of soil. Don't dig, work, or step on the clay when it is wet.

A soil test would be a good idea. If you are on the Piedmont, most soils can use some dolomite lime and superphosphate. If you are in the Midwest, the soil may need sulfur rather than lime. But you can't be sure without a pH test (ideal pH is 6-6.5).

Clay with organic matter is good soil for roses. Maintain a heavy mulch of plant material to feed more organic matter over the years.

No sand. No peat moss. Don't be too taken in by the idea of a raised bed.

Clay is good. That's where you start. So what you want to do is loosen up the clay, and add organic matter, like compost or manure to keep it fairly loose. If the clay is very compacted, loosening it up and adding material will create mounded beds naturally.

I know a garden where the soil was totally transformed by using seaweed meal and cocoa shells. It took a several years but it looks like worms and winter moves the soil around, and this stuff works with heavy clay soil. If you can get lots (!) of spent coffee grounds, thats good too. Good compost takes time amount to anything, but seaweed meal and cocoa shells can be bough in big bags. Maybe the local coffee-bar can supply you with coffee grounds.

Thanks everyone for all your advice. Looks like I'll be talking to the owner of the horse farm down the road for aged manure. Meanwhile, no sand, no peat moss, lots of compost and a soil test. I think I'll have a chat with the coffee house in town too since we don't drink all that much of it.

You guys rock!