any idea how to build a 4x4x9 swing set (wood) materials etc.?

Answer 1

You could order a kit from a website like http://www.build-a-swingset.com/

Answer 2

I would use both nails and bolts, depending on the application. For overhead supports that the swing attaches to, use the carriage bolts but you can initially hang the support with a nail. For the sandbox I would use only nails. However, all nails should be twist shank or ring shank to prevent their working out. The carriage bolts should be used wherever you need strength for support and safety. The wood should definitely be treated. Good luck.