VM is good if you want to keep the game files and not delete everything each time. With a sanbox you can simply put the game on a USB drive, launch it in the sanbox, then when you quit you can export the saves in the USB key, if you want, then delete the sandbox you create. You'll still have the USB with all the save files but no traces of the game on the PC.
I also keep all the games on an external drive just to save space, then use them only inside a sanbox for safety reasons.
With a VM you can save and keep the virtual file, because recreating everytime a virtual machine to play a game is quite annoying. This solution will take you a lot more drive space.