It is used to filter out smaller particles and keep them from entering into your filter. They are cheap and do a fantastic job of helping to keep your pool water crystal clear.

In your case, it would help to keep the nasty stuff from entering your sand filter and passing right through only to be blown back into your pool through the return. Not all of it would get back into your water of course, but using a skimmer sock would help to keep much of it from getting into your filter and thus help you to get your water cleaner faster.

Just make sure you empty the sock morning and evening to keep it clear. Also, make sure to keep your chlorine levels around 15ppm until that level holds over night, and your CC level = 0. These readings will likely occur at the same time.

Here is a link to some skimmer socks so you can see what they look like. As mbar mentioned you can also use an old pair of panty hose or tights to do the same thing, although I think that the commercial skimmer socks will do a better job in the long run. You can use one of th other things until your skimmer socks arrive though.