Gilad Bracha has a really interesting approach to sandboxing third party libraries: Remove imports, and do everything with dependency injection. That way if you never inject say the IO subsystem, the third party code won't be able to break out. And there's no overhead, since it's all based on capabilities.

Even cooler, if you want to only expose read operations, you can wrap the IO library in another library that only exposes certain commands (or custom filtering, etc).

EDIT: I should say this doesn't work with systems programming, since there's always unsafe or UB code.