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I was reminded of this by Film about pieces of the sun tracking people thermally and incinerate them. I think it was an older story, one I read in an anthology somewhere in the early 90s (decent chance of it being one of the Alfred Hitchcock collections). At the beginning of the story, an itinerant is found dead on a beach, horribly burned on one side. The assumption is that he died from a lightning strike, supported by that there's an orange ball of glass (about marble-sized) underneath him, posited to be caused by the lightning fusing the sand into glass.

Over the course of the story, the protagonists (I want to say there's at least two, one who's sort of the "viewpoint" protagonist and one who actively researches the bits of glass, maybe a doctor or scientist) learn that the bit of glass can move slowly on its own, and generate a fair amount of heat if trapped, the itinerant likely burned when he collapsed on top of it. I have a vague memory that they found a way to demonstrate the balls effect on-command by striking it with a hammer and seeing it glow with heat. Tracking the ball, they find it's seeking out other bits of glass with the same properties. They set a trap with some dynamite and blow up a much larger sphere (I don't remember the size, at least beach-ball sized if not Rover sized), thinking they have solved the problem. The story ends with two orange grains of sand beginning to move towards each other, restarting the process...

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"Dune Roller," by Julian May. First published in Astounding Science Fiction (December, 1951), which is stored in various formats on the Internet Archive. (I linked the appropriate webpage to the magazine title.)

Like you, I first read it decades ago in one of those story collections that had Alfred Hitchcock's name attached. According to ISFDB, that must have been Alfred Hitchcock Presents: Stories Not for the Nervous, although I see that "Dune Roller" has been reprinted in several other books as well.

The plot is very much as you describe. It appears that long, long ago a glowing meteor crashed down into Lake Michigan, and lots of little bits and pieces of it apparently were separated by the heat and stresses of reentry and, ever since, have gradually been trying to join together again. It appears that the main globe -- the "Dune Roller" which had gradually become a mere folk tale in that region -- spent most of its time down at the bottom of Lake Michigan, where nobody could see it unless it was attracted by some tiny fragment of itself which was near the lake but couldn't move itself down into the lake to seek the large sphere. Small "amber drops" could self-propel slowly if there wasn't too much of an obstacle in the way, but the big dune roller could move at a very fast pace, even chasing down a motorboat on the surface of the lake. At one point, when a girl named Jeanne discovers that last point the hard way while piloting a boat and wearing an amber drop as a piece of jewelry which her boyfriend (an expert on "dune ecology") gave her, she describes the pursuing sphere as "fifteen feet high." (Which also indicated that the thing was somehow capable of keeping itself up at surface level for lengthy periods instead of being stuck down on the lake bottom if it didn't want to be.)

And it ends as you describe -- the good guys lured it into a trap and blew it to smithereens, but we learn that individual grains will gradually reassemble into larger bits.

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