Will Sandboxie protect me from malicious key-loggers?
Yes, to some extent. First of all, your system (outside the sandbox) must not have been already compromised by an installed key-logger. Sandboxie can not protect against key-loggers that are already running outside the sandbox.
You may want to consider always browsing sandboxed, so you don't accidentally get any key-loggers into your system.
It is very difficult to reliably detect a key-logger. For a lengthy explanation, see Detecting Key Loggers. So the most important tool Sandboxie offers you for protection against key-loggers, is to delete the sandbox.
When you stop all sandboxed activity (in all sandboxes), then proceed to delete the sandbox you're about to use, you can be fairly certain that all key-loggers are dead.