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.
I've been coming to lone rock beach for years, its a good inbetween spot coming from canyonlands, monument valley and heading to Zion. It is dispersed primitive camping and there are no trees so bring umbrellas and easy ups to protect yourself from the sun. I do not recommend you camp at the beach if its windy unless your in any rv. Be very careful where you drive it is sand and can swallow your car pretty easily, if you think your getting stuck stop immediately and dig out your tires. Keep in mind if you are coming here on the weekend or holidays it gets very crowded and is known to the locals as party beach.
There is water available and a dump station. The water gets shut off in the winter months. There is also vault toilets available.
It costs $30.00 entry fee and $14.00 to camp. If you have an annual national park pass the entry fee is free.