Sandbox to stop digging.... Does it work?

My dog is a digger. We just installed an underground fence so he could spend more time outside unsupervised... Well that isn't working out because when he is unsupervised he digs holes. My husband is OCD about the grass and he is fed up. Now I play with my dog a lot and I walk him twice a day. He gets tons of attention so it isn't like he is doing it because he gets ignored. I think he just loves to dig.

I've heard people make their dog a sand box, or a designated place to dig.... does this really work? And how do you teach your dog it is okay to dig there? I'm afraid if i let him dig in the sandbox then he'll think it is okay to dig anywhere...

Any ideas?