On the coast, sea oats hold certain beaches in place with their very long roots. Redwoods hold mountains and hills in place with their long roots.
Now, I'm guessing that neither would be particularly happy in your area, but you might use the concept and plant things with long taproots to hold your dam or swale in place.
I suppose you could also use rocks or wood to help hold them in place, like an iron spine <laugh>. On beaches it seems like rocks and large driftwood are the only permanents, but in your case, you shouldn't have to deal with the wave action. Sand can certainly absorb a lot of water quickly, but it can also erode scarily fast. You might very well do better with terraces and hugel beds, though I think you might be able to somewhat combine the concepts. (For instance, build your swale like a hugelbed, thereby giving it stability.)
Well, certainly you'd get better tilth with the hugel beds over time, assuming that they hold moisture long enough to rot. You can also use the scaled down version of hugel beds, what I call rough raised beds, and just use layers of fresh
compost, soil, finished compost and dry plant material (in no particular order, but it speeds up the decomposition to layer soil between the other layers) instead of logs and large branches. (Assuming that these are seperate from your swales. I don't know how it'd work in a swale on sand, because literal weight can make a difference in soil retention.)