Ticks can indeed live in sandboxes but ticks mostly live in grass, woodpiles and other debris.
To keep your yard free of ticks and other bugs keep debris such as brush, limbs et away from the house, sandboxes and other play areas.
I would also recommend treating your yard for ticks with some tick poison but do not let little kids eat anything off the grass or the dirt from where you sprayed or spread the tick poison on.
It's also best to locate or keep your child's sandbox, swing set and other play areas away from wooded areas where ticks usually hang out.
If you or your kids have been in the woods or in some tall grass make sure to check your own body as well as your kids body for ticks.
Also check the private areas as well because I've had ticks in my private area and didn't realize it until I got into the shower.
Ticks carry disease so you want to remove the ticks from your body promptly and get rid of ticks in your yard.