It depends. If you leave .com in .css, for example, then the sandbox will keep taking you to the live site.
iirc I just went through the settings and changed any that seemed might cause a problem, but to be absolutely safe you might want to change all of them.
Also, if you’re using S3 for storage, do something about that so that you are sure that you’re not influencing the live site.
Links to other posts inside the sandbox resolve to the corresponding item in the sandbox, but I think this might be dependent what you do with hostname in app.yml (if you copy your app.yml over from your live site then be veewy, veewy cawefuw…)