Local sandboxes - There are a few options for local sandboxing that can help you. Cuckoo sandbox is the standard for local automated malware analysis. This is a great option for when you need to analyze a file that might contain PII that you do not want disclosed to a public sandbox. Another great option is to use Fireeye's Flare-VM. Not only does it come loaded with a slew of malware analysis tools, it runs as a virtual machine where malware can be analyzed and event detonated with out fear of impacting the host operating system. You will encounter files that pass muster with most automated analysis tools and the only way to determine what it does, is to detonate it. A great and simple way to do this, is to load the suspicious file into your Flare-VM, turn on a web proxy like fiddler to monitor your outdoing web requests, open local tools like event viewer or a process monitor, and detonate the file to see if it makes any unwanted actions on the device.