First, to create a new sandbox executable, we need to declare a new Visual Studio demo project within the Premake build scripts. You can add a new sandbox project by opening the SandboxDemos.lua script and appending a new entry to the SandboxDemos table. In this case, you can name your my_sandbox demo or any other name you'd like. The project name will determine the name of the executable that is built:

SandboxDemos.lua:

SandboxDemos = {
    "chapter_1_introduction",
    ...
    "my_sandbox"
};