Ah, the age-old adage of of never splitting the party. Trouble for the party if they do and trouble for the DM as well.
How does a DM manage letting the players do what they want in a sandbox setting even when they decide to go their separate ways? BTW, this is in response to Rob Connely's comment on ChicagoWiz's blog responding to the conversation on Blackrazors sandbox post (who says this isn't a tight-knit community?)
Different from ChicagoWiz's session methods, I do continue where the session left off. If in a dungeon we begin from that point, if the last session ended in town then the time between the sessions pass in game time as well. If we begin the session in this manner, then players can decide what they have been doing during that time (visiting family, drinking and whoring, etc). I deal with each player, if need be, quickly and individually just to validate his/her actions.
It's very important that once the session begins in earnest that you try to keep all players at the table involved. If the players split up (which does happens occasionally), then the way I handle it is to focus on each separate 'party' for a while until there is a breaking point or resolution. During this time, the player's adventure/role-playing and my interaction with him/them should be the focus of the table. Some times it's not as there is much table talk but many times the the interaction is involving enough that the other players chime in with jokes or ideas. In other words, keep the in-active players involved by letting them participate in whatever way they want. They may toss the DM a good line to use, or a situational idea. Regardless, role-playing at the table usually becomes the entertainment.
Also, if the separated player chances upon an encounter, let the other players role those characters or run them during combat. That makes it easier for the DM as that is much less to keep track of at the table.
Let that scenario play out for as long as it can or as long as it needs to. Believe it or not, the DM can 'guide' things a long much more than you think without the trappings of the ol' railroad.
Read your players. Are they all loosing interest at the table and breaking down into non-game conversations? Some of that is okay when the party splits but you'll know when it's getting out of hand. But by keeping them involved and letting them participate will keep the focus on the events at the game table.
Now, if one of your player's characters wants to go off on his/her own; quest/treasure hunting etc. let them. Remember, once a session begins, time passing during the game tends to go pretty slow. Dungeon exploration may only last an hour or two in game. The external party member, during this time, is out doing his own thing, thus he may be out of that sessions play. Have that player either roll up another character to play or run a hireling/NPC. My players have brought a number of NPCs and hirelings to life using this method. Again, let them participate in the creation of the world (less work for the busy DM). Obviously, the player's missing character will not gain any experience during that session.
From there, I would deal with the players separate adventure either in a separate one on one session or via email or something like that. Who knows, that may lead to a whole number of different scenarios for your entire party as they wonder why the heck their companion never returned.
Always try to accommodate your players, that's your job. It's their game just as much as yours. Be flexible and always say YES.
Also keep in mind that separating the party can be a very dangerous proposition especially in the wild or in a dungeon. Hear that? DANGEROUS. That should be all a party needs to stick together.
If anyone else has any other suggestions on how they deal with splitting the party feel free to share.