The thought occurs that if that is indeed the problem, you could attack it by mixing a metal in with the sand. You'd still get the thermal mass, but conductivity would no longer be a problem as long as it had been in a liquid phase at least once.
The problem isn't so much the sand, it's all the air gaps between the grains of sand.
Adding metal won't help any- once it gets to a liquid phase, it'll sink down, or if it doesn't stay liquid long enough, will just trap most of the air in it.
Edit: you'll also want to keep oxygen out of the environment in the liquid phase. Depending on the metal you use and the exact makeup of the sand, you'll wind up with some materials that are often used in refractory cement- aluminum, oxygen, and silicon will do the trick and absolutely ruin the effectiveness of your heat battery.
