I mean, WB: SE has one, and when I skimmed through the meta site, I couldn't find any trace of a sandbox. Should we make one?
Worldbuilding is rather unique as Stack Exchange sites go: It's often difficult to tell what information is needed in a question in order to make it answerable, and sometimes even whether a question is going to be on topic or not. Small nuances can tip the scale from a question being on topic, to off topic, to back on topic. Navigating the tide can be difficult even for experienced community members at times, so a sandbox where these issues can be (at least mostly) hashed out serves a purpose. With most of the quirks out of the way before the question hits the main site, far less tweaking is typically required afterwards. It also doesn't help that Worldbuilding is often considered a "dump an idea onto the community and see what happens" kind of site, which is pretty far from how it was envisioned.
The way I see it, Writers doesn't have that same problem. It's fairly easy to tell whether a question is about the craft of writing, or other aspects of authorship. The help center has a pretty thorough list of what's on topic and off topic. I rarely find myself wondering whether or not a question is on topic on Writers; on Worldbuilding, it's often nowhere near as clear cut.
Also, a question sandbox requires an active community that frequents wherever the sandbox is; honestly, Writers lags far behind Worldbuilding in this regard. One can speculate about the reason for this (I won't, at least not here), but that appears to be the way it is.
Generally speaking, I don't see a whole lot of closed questions on Writers, which would indicate that there isn't a major problem to be solved. From a quick look, it appears that Writers has about 10% closed, non-deleted questions on the main site (588 out of 5,605 at the moment); this in comparison to over 21% (2,768 out of 12,907) on Worldbuilding.
We already have a thing for this - it's called Meta! There's no reason not to open a question here with a proposed question in it. "How do I ask about (thing)" makes a fine question here on meta.
We do have a fairly substantial close rate here - it's somewhat higher than 10% - but not all those questions stay closed. We also do a pretty good job of helping people edit questions so they get reopened.
I've thought for a while about suggesting something like the sandbox here, as it's clearly a pretty awesome idea over on Worldbuilding. The problem is that we do give people the opportunity to edit and reopen, so that part of the system is working.
Having a question closed isn't fun, and it's nice to work out the bugs in a less public place like meta. Questions that straddle the line between a critique and a specific question that just uses a piece of writing to make a point can be a little tricky to get right.