I would definitely go with the sand bath. Their only main disadvantage is that the heat distribution can be poor, since there is no convection/stirring to help, but they are much safer for the temperatures you are considering. A few grains of hot sand will just brush off your hand, but a few drops of oil at 240 C is a whole other thing...
Also, you should check the oil which you use: parrafin oils are generally only good up to 200 C (they may start to smoke) while silicone oils can generally go higher.
The gold standard would be a drysyn or equivalent, but these may be prohibitively expensive.
Not sure why the oil bath failed to heat up, it may be that the convection that aids heat distribution is allowing the surrounding air to cool the bath more efficiently that it does with sand? Not sure.
CS