Any of those aquariums would be great for a pair of seahorses. I'd go with the talls, like the 37 gallon high, because it will be easier to aquascape and easier to find stands, lighting fixtures, etc.
You can add the live rock slowly, but it will make your cycle longer. The longer it takes you to set up your biological filtration, the longer it is before you can put anything in the aquarium.
I'd ask your LFS if they know of any local forums or clubs that people in your area congregate on. At the very least, you should be able to find a city near you on
www.craigslist.com. Where do you live? Someone on here might be able to suggest a forum.
You don't need live sand, but you do need argonite sand. Silica based sands (like most of the ones at the hardware store) can cause algae problems.
Oh, and a bio-wheel in a saltwater aquarium can cause nitrate problems if the aquarium isn't planted with macro algae. But, you can use the filter and just remove the bio-wheel. Just make sure the filter only turns the water over 5 times an hour, or that it has an adjustable flow.