Yes the clay often tends to turn white after sanding.
You can usually get the colour back by rubbing a tiny bit of baby oil into the clay after you have finished.
I've also seen acetone suggested, but you have to be very careful if you try that as it melts away the clay, so I've never tried that myself.
Some artists also paint the entire sculpt, so may not worry too much about the colour of the sculpt.
Oh and when I had time to sculpt I rarely sanded, I used a tiny bit of baby oil for smoothing once I was sure I was finished sculpting and I was usually reasonably happy with how smooth my sculpts were.