Yes, it is possible over a LAN. Performance is not so good to have both the server and your client on the one PC. Sandbox on it's own struggles enough to keep up with just you connected to it, let alone more clients.
Start the game, choose 'Sandbox' and start what looks like single player. The other computers on the LAN can now connect to your game using your internal LAN IP address as the host (example 192.168.1.2:4242). Doing this over the internet might be a little harder to do with network address translations not being handled by the game itself. A 3rd party NAT/VPN software (Hamachi) might be able to sort out the port forwarding so it works.
WarSong is right, better to use a 2nd box for the server, and your client on your usual computer. Playing single player 'Sandbox' style also works better this way too. I use a machine with a Core Quad CPU (quite old now), 2GB RAM, no real videocard, and not even a monitor plugged in to run my home LAN private StarMade server on and use this as my single player mode instead of 'Sandbox' mode.