Sensory play stimulates the senses and is an important part of brain development. The idea is by using their senses they are able to retain more information.
At the pre-k age we started with writing in sand to form letters. You start with a small box or container. At first we used a cute box I found at Home Goods and later switched to a plastic pencil case. You can use a pencil in the sand but to really get the sensory aspect of it let your child use their finger to form the letters. This was not an activity that we allowed free reign on due to there being enough sand in our house as a side effect of living in Florida. At the younger age it was something we did with him and put it all away when he was done with it.