Make one
In Settings, open Worlds and press + New world. Name it, press Done, choose Sandbox and press Create. A world's mode is fixed when you make it, so you cannot switch an old world over. See Your worlds and saves.
Sky and rules
Only a Sandbox world has the Sandbox tab in Settings. Its Sky page sets the time of day, weather and season. Its Rules page switches enemies on or off, sets how often and how many creatures come for a rich settlement, and switches air under water, dropping things on death and player damage. The host's choices hold for everyone.
Tools
The Tools page sets out chests around you, full of every resource and material, to build and craft freely.
It also opens the proving grounds: a test room with a workshop where every recipe is known. Your world waits until you leave. Reset proving grounds makes the room new again.
Sandbox or Peaceful
A Peaceful world has nothing hostile but otherwise plays like Survival, with no Sandbox tab. Pick Sandbox when you also want to set the sky, change the rules or build with the resource chests.