You cannot prevent file deletion but you can block all access to that folder(s).
We are talking about file deletion inside the sandbox right?
Sandboxie uses a configuration file where it stores all settings to your sandboxes.
That file is located under C:\windows\sandboxie.ini
Each sandbox starts with parentheses. For example: [DefaultBox]
[DefaultBox]
ClosedFilePath=!iexplore.exe,%Favorites%
The above means that every other program except internet explorer is denied access to the favorites folder.
Or you can just block the entiore folder, like this:
ClosedFilePath=%Favorites%