I myself tried it only three times so far. Had my tyres on 15, 12, and 13 (each occasion on different pressure setting). Never had the tyre pop out of the rim, though.
As for gear setting, my car has manual shifting capability, so depending on the terrain i used up to 4th gear (out of 5). Only once I was 100% stuck (meaning I could not move the car anymore and it had to be pulled out). Had the 4WD on 4H mostly, 4L only when I got stopped (not necessarily stuck).
Loved the experience each time. Loved the way you have to turn the steering wheel this way and that when driving through softer sand, going down (slowly) a steep sand wall, etc. Disliked rugged hard sand - too bumpy.
but I am thinking to sell my car in the near future and just switch to plain saloon car for a more boring life.