There's an old joke in psychiatric circles about houses made of sand.
Neurotics live in them, psychotics build them, and social workers collect the rent.
Actually in this part of the country when someone builds, or participates in life, in something made of sand the wind and rain will render it useless in very short order. So "Made of Sand" to me is this love/relationship is not made of substance - but simply a dreamers wish. This song has always engendered in me a feeling of hoplessness - someone not having their life very well together and their relationship is worse because of it.