I think the ideal solution is stone of some small size, like 3/4". You can change the amount in there if you need to to carry chains, cones, etc, still change the configuration of tool tubes, and use drill holes for water drainage without worrying about losing fill material.
Sand is scary to me because if you get moisture in there, it can't get out since you can't really drill drain holes unless you want to leave a trail wherever you go. I suppose you could add a few layers of nylon or stainless screen beneath the sand, but it still just doesn't sound like the way I'd choose to go.
Cement is too permanent for my taste although I do recall reading about someone who used cement blocks stacked neatly and that would be ok with me.
As for wheels, I use a furniture dolly I got at a home improvement store which works perfectly for me especially since I rarely use the ballast box anyway. I can just wheel it into a corner and pile junk on it until the next time.