Well, it seems that everyone goes with either walk on the wet sand or protect your feet...
However, I've done this in the past since I was a kid
(overtime you get used to the hot sand): the really hot sand is just the thin top layer, just underneath is warm, so one way is to dig your foot, a little like kicking the sand at each step, this is generally not appreciated if there is other people on the beach.
The other way, that wont get you yelled at but its slower, is to quickly move aside that thin hot superficial layer with your foot and take your step.
Next time you are at the beach give a look at the way the old lifeguards or the guys that set umbrellas and chairs walk on the hot sand.
These are ok for walking, you cant really do that for running.
Over the years I just got used to the heat, now its not a big deal anymore.
I would prefer that than running with sand and sweat in my fivefingers (whenever I have wet sand they rub too much on the back and around the ankle) or sandals, its like sandpaper... and sand in socks just drives me nuts... take it as a push to run a bit faster ;)
outdoors.stackexchange.com/users/8876/Erik vanDoren
Sandals with straps like a Chaco Or run barefoot first thing in the morning Or run down in the surf
outdoors.stackexchange.com/users/6728/paparazzo
Unless you're at high tide, walk just below the high tide line.
The damp sand is firmer and easier to walk on as well as cooler.
To get there, in sandals you can step vertically onto the sand and reduce contact with your toes.
With bars feet, move quickly.
Even if you don't have both feet off the ground by running, minimising the time they're both on the ground reduces the heat.
With shoes /boots walk normally.
outdoors.stackexchange.com/users/2529/Chris H
Depends on what you're doing.
My insights: Running/jogging?
Barefoot or running shoes near the waterline.
Try to avoid sandals that expose your toes completely, since you could hurt you toes & toe joints if you stumble.
Walking idly?
Walk in the seawater if possible or near the waterline so your feet get soaked occasionally.
Not only does it provide cooling but also health benefits (arguably).
Walking through the dry sand?
Barefoot.
Walk deep in the sand as described in other answers, avoiding the hot top layer.
Beach volley or such sports?
Barefoot or some light covers ("swimming shoes", special socks etc).
Stay hydrated!
outdoors.stackexchange.com/users/None/
Barefoot Shoes Also known as minimalist shoes, the theory behind them is to give you as close to a barefoot feel without actually putting the soft, soft flesh of your terribly urbanized and unadapted soles of your feet at risk of damage.
My favourite barefoot shoes are Vibram Five-Fingers , I wear either my Mouri's or my KSO's at the beach.
Vibram Five-Fingers '
Signa' watersport shoes:
The thin sole will be enough to protect your feet from the lava sand, and it will still feel like running on the beach barefoot, with the exception of your feet getting exfoliated by the sand.
They also have running specific five fingers if you're interested.
outdoors.stackexchange.com/users/4148/ShemSeger
One approach I learned when playing beach volleyball in Egypt are a pair of thicker socks.
With these you still get the barefoot feeling but have a layer of insulation under your soles.
For me my old socks from my military service do the trick, but a pair of old tennis socks should also work fine.
outdoors.stackexchange.com/users/2410/Benedikt Bauer
Last time I was on vacation in Italy, I decided to go barefooted for a run on the beach in the evening. Lovely idea, wasn't it? It was not! The beach felt like a volcano!   Which gear or techniques are recommended to walk/run on hot sand?
How to walk on the hot beach or rather hot sand?
outdoors.stackexchange.com
<walking><footwear><technique>
outdoors.stackexchange.com/questions/13512
outdoors.stackexchange.com/users/8060/OddDeer
Walk on the wet sand or protect your feet using socks or sandals. Walking on damp sand below the tide line works well. Sandals and socks also work well.
Sandals and socks can be helpful. Walking on damp sand below the tide line works well.