I've spent quite a bit of time walking in the sand on the Lake Michigan shore around Holland and Grand Haven. It's next to impossible to keep it out of your shoes. The best footwear to use, from my experience, is a sandal. Like Barry, I have a pair of Teva Terra Fi2's. They're perfect for that terrain.

I don't use socks when it's warm, which is the only time I tend to be walking on the Lake Michigan shore (it's probably under about 10 feet of ice right now).