What is the function of the sand in this process?

The sand acts as fine anti-bumping granules and provides small nuclei on which gas
bubbles can grow.

Why is the flask heated over a sand-bath?

The sand bath spreads the heat out so that the flask is heated evenly. This reduces the
chance of the flask breaking and ensures that there are no hot spots in the reaction
mixture which could lead to excessive charring, for example.

Additional information:

Why is the sulphuric acid added slowly with cooling and shaking?

The ethanol contains some water, and the dilution of sulphuric acid is strongly
exothermic. Ethanol and sulphuric acid, although miscible, have very different
densities, so need shaking in order to mix them properly

http://rod.beavon.org.uk/ethene_prep.htm