Since the quite thick roots of my Euphorbia seedlings were just on top of the soil and had no chance of growing into the sand, I covered them with another layer of sand.
And it seems to help. Apparently they now have enough leverage to grow upward. Also they're slowly turning green and most of them have shed the empty seed hulls by now.
However they still don't look anything like Euphorbia obesa are supposed to look like...
Euphorbia obesa seedlings on June 3, 2007