THE SAND IS AN OLD BLACKSMITH TRICK TO SLOW DOWN THE NATURAL COOLING OF THE WELDMENT. HAVE ALSO SEEN WOOD ASHES AND SAWDUST USED. ANYTHING THAT WILL INSULATE THE PART.
IF THE WELDMENT IS TO BE PRODUCED TO "CODE" AND THE CODE REQUIREMENTS ARE TO MAINTAIN POST WELD HEAT AT A SPECIFIC LEVEL AND TIME FRAME, THEN IT MUST BE DONE....THE METHOD IS UP TO YOU BUT IT MUST BE MEASURABLE AND DOCUMENTED AS PER THE WPS AND PQR.

You must not have an oven to put them after welding to allow them to slow cool!
Something that works better than sand is Lime. If you bury a heated item in lime for 24 hours you will be amazed how little heat it gives up.

If you have no confidence in a WPS ask to see the PQR that supports it.

Both Falk and Ron are correct. However, it might be the case that you don`t have a box or container large enough to put the welded parts in. In these cases, wrap the welds with a blanket or two made of a suitable insulating material such as rock wool, glass wool, ceramic fiber, calcium silicate or the like. I`ve used this method successfully a lot of times.
Giovanni S. Crisi
Sao Paulo - Brazil

I wrote and qualified a procedure not long ago for 4130 Annealed xxh 3" pipe welding.
We performed 300 deg. preheat with 500 deg. interpass temp,(F) welded the root pas with GTAW ER80S, then filled & capped with SMAW E10018.
Immediately after welding, we wrapped the joints tight with fire blanket, (rafrasil) fiberglass house hold insulation, and duct tape.
Once they cooled, we performed a preliminary RT for defects, then stress relieved, then RT again.
After 64 joints and no problems at all, the piping was put into service under 15,000 pounds pressure of liquid cement.
Also before on structural applications of 4140 plate and round bar pins, I buried the parts in warm, dry sand for slow cooling.
In another case, repairs on a 4140 crane tip, offshore, in a cold wind, I kept a rosebud on the base metal the whole time during welding, and after I was finshed, I wrapped it with fire blanket to keep the wind off. To keep it from cooling to fast, I re-heated it several times over about 4 hours.
The most important part is don't allow it to cool below the preheat temp until you are finished welding, and then let it cool as slow as possible. Always perform NDE to check for cracking after at least 48 hours cool down time.