Make shit up as you go  is key.

Also give players things to latch onto as well as "tools" to let them start creating things to play with. 

Also despite sandbox sort of equating absolute freedom, you still want to maintain some degree of control because if you let everyone try and do their own thing attentions will get to split and you'll lose cohesion and losing direction is something that kills game as well as you're gonna get situations where players might not be feeling it to create their own stuff