Using pressure-treated wood to make a sandbox
Pressure treated wood is treated with chemicals. You have to ask yourself if there is any risk. Best strategy if you have any concern at all is to avoid the treated wood and go with something natural. You could use cedar and leave it unfinished use something like fir and paint it. 

When I made a sandbox for kids years ago I used fir and painted it with safe paint. I also made the box with legs in the corners so that it was held up off the ground about 6 inches. Spaced fir planks for the bottom with landscape weed control fabric in the bottom allows for drainage whilst at the same time keeps the sand from escaping through the quarter inch spaces between the bottom planks.