I've done it a few times here in Australia, the thing that annoyed me most was the sand getting everywhere, in you boots, bindings, etc. My advice would be use some old gear, yes it is still useful for somethings, and enjoy it.
and remember that sand really hurts, especially if it hits your eyes, if there is a lot of wind and your shredding pretty fast.
It can be very enjoyable if you find a good dune to play on, thanks for reminding me its been awhile since of done this, might try and organize another trip with a few mates in the up coming month while I wait for the Northern Winter.