Don't just start building links of your website at very early stage. You can do that at a later time. First of all you should focus on ON-Page SEO of your site. Post a few articles and index your site in Google. After that do proper keyword research and make a list of keyword you want to rank for. Then start building backlinks from trustable sources. Don't make spam backlinks, it will have a negative impression on your SEO profile. It will also result in de-indexing of your site and even penalizing of it from Google.
Sand box is just like a dustbin or you can say a temporary database of google where it store fresh websites. You need to create backlinks from reputed and relevant website and indexed your website on google database and once this happen your website is come out from google sand box. So create quality backlinks for your website.
Sand box is just an imaginary database of google, you have no need to worry about it. Just start your off page activities and get backlinks from reputed sites relevant to your niche. But make sure you have done your on page first.
You need solid and relevant content and good SEO optimization for on-page. After you have all this you can start creating backlinks campaigns. Don't go with spammy fiverr type backlinks provided with blackhat tools. Just create relation between others in your niche and develop your social awareness.