Yes! Follow my steps here to use Sandboxie with Opera.
Double click the Sandboxie icon in the taskbar.
Chose sandbox |Default Box | Sandbox Settings
Click on Applications | Web Browser |Other
Double click on Allow Direct Access To Entire Opera Profile Folder. This is at reduced security, but it allows addons and bookmarks to be saved in the Sandbox.
Now go to sandbox |Default Box | Sandbox Settings | Delete | Delete Invocation and chose Automatically delete contents of sandbox.
That's it! Now when you download a file, Sandboxie will ask to recover to allow the file saved on the computer. You may have to set up the recovery folders like your downloads folder so that Sandboxie knows where to save the file. If you chose to save a file somewhere on your computer besides what the settings are in sandboxie it won't work.
If you use a torrent application and launch the torrent application with the browser it will be launched in Sandboxie and can play hell when trying to download something. So if you are going to use a torrent just launch your browser without the sandbox and then click the magnet link to open your torrent client. It's not like files can't be recovered from the torrent client in a sandbox, it's just a PITA if it's a rather large file and you don't want to lose anything.
Make sure you click apply after you change a setting. It should warn you. What ever your default browser is that is the browser Sandboxie will open when you click on the Sandboxie icon. But be advised if you chose another default browser besides Opera then you will have to configure that browser in sandboxie.