You can camp at the rv campground (I have not camped there)  there are also group site available that are not in the sand.   The rest of the camping is dispersed primitive camping.   You can bring your rv or a tent and find a spot near the water.   Keep in mind that you will be driving in sand and can easily get stuck. 

Sandhollow state park is next to sand mountain sand dunes which makes the lake very popular for off road vehicles and can get noisy and dusty from them.   

There is a store located at the lake that rents atvs, kayaks etc. 

Its 25.00 a night for primitive camping there is water and a dump station available.