This style of training is now becoming more and more less common, Strength training is all about building strength, not size, and this is done through a different style of technique. Often at gyms you will be hard pressed to find people that work for strength, instead it is dominated by bodybuilders and people who want size.
So then why a sand bag, and why not just strength train using barbells or dumbbells. Well one of the best thing about a sand bag is its form, its so unique in the way it is round, nothing else is like it, plus when using a sand bag, because of its dynamic form, it means when lifting since it is moving everywhere, you will need to use your core muscles to stabilize the bag above you. Using the sand bag would be like compound exercises, exercises that work out more than one muscles of your body, much different to bicep curls, which only work one thing. Plus every time you do a clean and press with the bag, it always works different parts of your body as each time you do the movement, each situation is random!
The Bag doesn't just consist of sand though, it is made up of smaller bags within that hold a certain type of weight, so being able to adjust weight is easy!
But remember kids! to do research and ask or help before you start any form of heavy lifting, i would recommend using a barbell to do the clean and press and the dead lift first! Its all about good form, and doing the exercises properly so that no injury occurs, i had a mate that helped to teach me how to do it correctly! so remember work hard but keep it safe!