Link Building during Sandbox

As a business owner I'm absolutely new to SEO and as for now I try to figure out the effectiveness of SEO company (which promotes my websites).
I'm interested in the following questions:
Do you believe that sandbox still exist?
Is it a good idea to buy several links on brand new domain and forgot about it on 3-4 months?

In my niche it is a big competition and I'm trying to figure out how to start new websites.

Thanks!