Sand paper is good for cleaning off little bits of dirt, keeps you from having to wash them when you gather them.
Ideally, you should not wash them when you gather them; they have a coating called "bloom" on them that helps protect the egg, and if the bloom is left on the egg, it will keep longer. Eggs slowly lose moisture over time, and a protected egg will lose less.
You can use sandpaper to clean up bits of dirt, this will only remove the bloom in that little spot.
If the egg is really dirty, wash it and dry it, or discard it.
Wash the egg before using it, rather than when gathering it when possible.
Commercial eggs in the US are now required to be washed. They're washed in a detergent-sanitizer mix, dried, and then typically a thin layer of mineral oil is applied to replace the bloom. You should still wash commercial eggs before using them, though. Broken egg spills on conveyer belts and such can cause contaminents to end up on commercial eggs.