They wont dig tunnels or bury. But I have one that inhibits a gab between two rocks on the sand. It does remove sand from his little layer to keep it "open". So daily it spits 3-4 mouth fulls of sand out (which I assume is pushed back inside by the current). It also moves snails and hermits that gets in there lol.
So no they wont dig tunnels. But if it decides to inhibit a cave or crevice on the sand, it will probably try to keep it open.