I've been running games in my sandboxy setting for maybe a year or so. It originally started with just the basic premise of B2 Keep on the Borderlands, although modified quite a bit. The keep has become "The Outpost", and it's much crappier than the original version. Everything is made of wood (so it feels less safe). I used the map of the cave system, but reworked the interior maps and populated them myself, and also added a large ancient-spaceship-dungeon connected to one of the caves, but it hasn't been visited much. (One of the early groups was almost taken out by a wicked space mummy, and I think that scared them off.)
Here are some examples of what I'm talking about:The OutpostWeird Caves/Alien Caves (an early drawing)The Weird Caves/Alien Caves (Player version)Sample of one of the Caves' Interior
Since those early days, much has been added:
A haunted house (original Tegel Manor)
A series of small mud-cave dungeons (Geoffrey McKinney's Fungoid Gardens of the Bone Sorcerer)
A megadungeon of my own design (Castle Blackmeyer)
Two additional towns (Blackmire Village and Dungheath)
A wizard's tower (LotFP Tower of the Stargazer)
A volcanic mountain dungeon (S2: White Plume Mountain)
Here is what the current overland map looks like:Current Outland Map
I do a healthy mix of published products and stuff of my own design. I have quite a gaming library, so I try to get use out of as many things as possible. I have multiple groups running around in the setting: a local game store group (every other week), a home group (every 3-4 weeks), and I was running games on google+ as well over the winter, but haven't run one since our daughter was born in April.
My "world map" is the northern map from the hollow world box set, which is a giant poster-sized hex map. The only thing I use it for is so I know what terrain is where, because I don't find figuring that sort of thing out on my own enjoyable.
So basically, what I've learned, is that you can start a sandbox with just a roughly sketched town and dungeon. After the first session, add a bit based on what the players are finding interesting. Sprinkle in published adventures as locations and drop in rumors about them. Over time, the setting will continue to grow and begin to take on a life of its own, driven by the actions of the players. This can be very rewarding. Being able to improv, or "fake it" at times might be necessary, but a healthy selection of inspirational random tables and perhaps a set of story dice
make it very easy. I once ran an entire session based off of a two-sentence description in a hex entry from Carcosa.
My setting is kitchen sink in order to prevent me from getting bored. If I try to run a game that is too focused, I eventually get bored and want to try something else and that usually translates to scrapping the entire thing and starting a new campaign. With Outland, there is room for everything. I have 28 player races available. Lost technology is out there, from laser guns to "damnation vans" (think A-Team van), to rocket launchers, etc. My basic rule is that if it is fun, I can make room for it.
I only spend time creating the stuff I enjoy: magic/tech items, weird monsters, weirdo in-town npcs, fun encounter tables, dungeons....
Anything I find to be tedious, I just rip someone else's work: the overland map, a lot of dungeon maps, etc.
I think finding the right balance is key. Using a published setting is not an either/or choice. Use parts of it, and disregard the rest, depending on your tastes. Create the stuff you enjoy creating, and use someone else's work to fill in the gaps. I think doing things like that can give your campaign a lot of staying power.