Is there any advantage to lingering in sandbox mode?

Don't starve has a sandbox mode and an adventure mode.

In sandbox mode, if a player dies, the game is over. The player can find a door, and start adventure mode. In adventure mode, players can progress through worlds. If they die, they return to sandbox mode and can try again.

Is there any advantage in playing sandbox mode, as opposed to just rush to finding Maxwell's door?

Solution 1:

If your only aim is to complete adventure mode, there is no downside to going through the door immediately. You cannot take any items in so there is no need to prepare. Nor is there any downside to failing, aside from the sanity loss from standing near the door.