I live near a beach and some of my friends have. The phrase "You'll get sand in places you didn't know you have" is enough to convince me it's not worth it. Not to mention the tourists, cops, kids, etc. And that's just at night. And the beach is used for Asshole Break Ups - go at it a bit, pull out, cover the cock with sand, ram back in ... I'm surprised we haven't had any dead bodies out there due to that.
I've had sex in the woods before, but that's one of those things that takes plenty of preparation: giant ass beach towel that will keep sand out of everything sticky, a nice secluded place where no one will pop up, a day that isn't completely miserable... SO many factors!!