1. Don't use wire-wound resistors. They appear as resistors in parallel with a coil of wire, which equals inductance, which equals reactance, which equals a poor dummy load. Use carbon or composition resistors only. Even metal film resistors have significant inductance.
2. Don't use "engine oil". Use mineral oil or ask your electrical utility for some transformer oil. Most places will have nearly-empty 55-gallon drums of the stuff that they'll let you have for little or no cost.
3. Keep the leads straight and short. This works to keep the inductance as low as possible (see #1). You can't measure inductance with a regular multimeter.
4. As far as using "sand" instead of oil, I'd be very careful. Some "sand" is made of tiny ceramic beads, and this has some excellent thermal transfer properties. Regular desert or beach sand probably isn't as good.