A "sandbox" is your personal wiki page where you can practice editing, plan out articles, draft articles, or just experiment. Without impacting the article "mainspace” on Wikipedia — which is what we call live articles.
People can still see your sandbox, so it's important that the content you put there isn't something you don't want people to see. This also means you shouldn't copy and paste things there that might violate copyright rules. But, if you want to write out a draft or play with formatting, the sandbox is a great place to do it.
To go to your default sandbox page, simply click the Sandbox link, which can be found at the top right whenever you are logged in.