However you would need to create a separate sandbox from within the Sandboxie program. Then you can set options to not have Sandboxie purge the sandbox after you close the application or Sandboxie itself. If your purge the sandbox you lose all saved settings from the java game. Exceptions can be made from within Sandboxie.
Remember that cool hidden "Graffiti Wall" here on BBR? After the name change I became the "owner", so to speak as it became: Dustyn's Wall »[Serious] RIP