Clay's job is to hold things together. Clay is one of Mother Earth's magic mysteries. Legends of many cultures tell how the first people were made out of clay.
Clay is made of very small platelet-shaped particles held together by the friction of their surfaces. The particles are small enough to remain in suspension in water for a little while. Clay expands when wet and shrinks when dry. Some clays change size more dramatically when wet or dry than others do. Clays also differ in stickiness and ability to glue things together. Most soils that I've come across, in eastern Australia, northern New Zealand, and the northwestern United States, have had plenty of clay in them so I haven't had to import clay.
If you have very sandy soil and need to add clay, you'll have to find some. Gathering and adding clay can be a lot of work so if you have to do this, figure out a cob recipe with as little clay as you can get away with. You don't need much, especially if you can find a good sticky clay and add a minimum of straw.
Where to look for clay
Often the deeper you dig down, the more clay you'll find in your soil. The sides of streams or rivers are likely places to find clay deposits because the water has worn into the lower layers of soil. Look along the sides of roads where the earth has been cut. Hopefully you can find some in a location where you can load it into your truck.
Clay is used by tile and brick manufacturers and can be purchased cheaply from them.
If you need to add clay to your soil, either mix the clay in water first, or dry it and crush it to a powder before adding it to your cob mix.
Soak clay-rich soil overnight (at least). This will help it to mix well with the water and make it easier to break up the clay. If your soil has almost enough clay, you can separate clay from some of the soil that you won't be using for the cob, and add it to your mixes to raise the clay content. Use the same principle as the jar test: put soil into a big garbage can, barrel or pit, fill it with water, and stir it a lot with a hoe or by mushing it up with your feet.
If you add dry clay to the sand, you'll need to powder it first and mix it with the sand while dry, then add the water. This is a dusty job and bad for your lungs, so wear a mask. The dry clods of clay can be crushed with a tamper or stomped on with boots. It can be grated through a wire-mesh screen. Driving your car over the clay clods with the windows rolled up is a good way to avoid the dust. If you plan way ahead, the clay can be left for a year or two exposed to the weather so that the sun, rain, and freezing will help it to break down naturally.
Some silt in your cob mix is OK. Cob made with a large proportion of silt is weaker but if that's all you have, try it. Make a test wall first and see how it holds up. Your test wall could be a garden wall, a bench, or any other small structure you can think of. Silt has larger, more gritty particles than clay does. One way to help you establish whether the material is clay or silt is to make it into a dough ball and cut it with a knife. If it's clay, the cut surface will be shiny - if it's dull, it is silt. Organic matter thrives in silt. If there's lush plant growth on the soil, it probably has a lot of silt in it and would be wasted in cob. It's much better used in the garden. You may find a layer of clay under the silt.