I suggest a glowing border around the page when in sandbox mode.

We have had one total failure while using it, when we had the sandbox sign up in admin, but our changes were published. In fact it appears at the moment that the sandbox just does not prevent changes to the home page widgets at all, but since we are in our fine tuning stage for a release today that ticket has been deferred to next cycle. It is a great plugin, and WordPress is better for it, but be careful as you get used to it.

Kurt