Have 2 cents to add. Well, maybe worth 2 cents. . .
I have Returnil and Powershadow, both free, installed. Mostly use Powershadow, because it protects the whole hard drive. Returnil might do that also, but I think it just protects C: drive, and I want to protect D: drive, the recovery partition, also.
Good thing about Sandboxie is that it lets me see what has changed since it started. What got installed, where it went, etc. There are two screenshots attached to this post. After the first one, I installed an app called "iIProcess Viewer" sandboxed, and took another screenshot. The changes made are pretty easy to see. The changes will be gone after a reboot because Powershadow is running, but Sandboxie lets me see what was changed.
I don't know where the files and folders are processed when PS or Returnil are active. If you are really careful (paranoid?

) about having leftover stuff floating around somewhere on your hard drive, you can write a .bat file to securely delete the sandbox BEFORE you shut down windows.
Edit: I use Sandboxie ver 2.86, 'cause I have not yet got the .bat file to work for the new version.
Hazelnut and Dennis know a lot more about this issue than I do, so I would defer to their judgement if they disagree.
first sandbox:

second sandbox: