You're going to have to ask your DM
But I will give you some further pointers for consideration.
Grenades are "Modern Weapons" and are considered priceless artifacts if found in The Realms
A campaign might include explosives from the Renaissance or the modern world (the latter are priceless), as presented in the Explosives table.
And 'Grenades' of all sorts are listed as modern weapons in the table below that statement
Sulfur doesn't explode on its own.
Sulfur is reactive and flammable, but without the nitrate and charcoal that makes up gunpowder, it just burns--there's no explosion. So you could hardly make a "Sulfur Grenade."
Searching for Sulfur Grenade on google gave me a link straight to White Phosphorous grenades. The only other things I found on that were that it was sometimes used as an ingredient for a stink-bomb, or that the term is used in a few video games.
If you meant a Phosphorous Grenade...
White Phosphorous is much more technologically advanced than gunpowder
Gunpowder was discovered somewhere around the 9th Century in China. White Phosphorous was invented in the 19th century...i.e. around the time of the industrial revolution.
The Realms are roughly analogous to Middle Ages Europe, so you're going to have to answer the question of why your character possesses knowledge that should not exist for several hundred more years. This is a common foible that can come up in D&D games where players may assume that because they know a thing, that their character should know a thing.
Where did this character learn the advanced chemistry necessary to manufacture White Phosphorous? Where did they get all the equipment, including a blast furnace, that they would need? How did they learn the proper, safe method for creating it that keeps it completely isolated from air the entire time you have it (White Phosphorous explodes on contact with air)?
Gunpowder wouldn't help you anyway
Forgotten Realms Lore says gunpowder does not work in the Realms.
According to Ed Greenwood (Tweet 1, 2, and 3)
In-game: the Firelord (Kossuth) decreed it so; natural or creature-made attempts to combine ingredients into what we would call gunpowder are absorbed by him (no blast as he takes energy). Out-of-game: TSR execs decided "no firearms," Jeff Grubb later came up with smokepowder for the giff in Spelljammer. The ingredients for which are completely different than gunpowder's.
Naturally, a DM may override this if they wish.
There is an alternative compound that was invented called Smokepowder--it's an alchemical compound that is completely different from gunpowder, but works in much the same way--with one important caveat: it behaves a bit like Nitroglycerine. If you jostle it around too much, kaboom.
If smokepowder is set on fire, dropped, or otherwise handled roughly, it explodes
Personal Experience Note
As a DM, I have a personal ban on players using IRL knowledge to subvert the setting I have established. I ran one game where I let players be "creative" in this way--allowing a player to use knowledge of modern manufacturing techniques, compounds, and other such things in the game.
It completely broke the tone of the game. The player started mass producing modern weapons and explosives, and started using them to solve everything. "Who needs 5 levels in Wizard to get Fireball?, I can just chuck a grenade in the door! Spell slots? Pfffft, I have a huge number of peasants mass producing these things for me--you can make gunpowder pretty cheap, y'know! I've got 30 grenades on me right now."
In my experience, allowing players to bring modern equipment into the game world because they know how to do it quickly leads to players trying to bring more and more advanced things into the world. And that will leave gameplay balance in a flaming heap behind you.
If, as a DM, you still want to do this...just understand that it will change the tone of your game, and you will have to scramble to manage balance issues, and spellcasters feeling cheated because their big offensive spells that they invested numerous levels into getting are being replicated by the party Rogue because his player knows how to make explosives.
Y'know that Trollskull manor's upper floors are made of wood, right? A white phosphorous grenade would burn the whole manor down.