I would leave out stuff like The Girl Who Would Be Death, Robinson's Witchcraft minis and House of Mystery which may have some peripheral tie-ins (Death's ankh, the Magdalena Grimoire, the 3 Witches) to the Sandman mythos but don't otherwise really fit in. I wouldn't include House of Secrets or Prez either.

Death: At Death's Door isn't a regular comic but a small manga trade by Jill Thompson. Unless you scan and reprint it, it wouldn't be suitable for binding.

You could also include Death Talks about Life, the promo insert about STDs that was written by Gaiman and illustrated by McKean. There's also Sandman: Gallery of Dreams, the pin-up issue.

Sandman Mystery Theatre does tie-in to Sandman since it features Wesley Dodds who, as Gaimain reveals, takes over for Sandman while he's imprisoned by Burgess. But, other than that (and Sandman Midnight Theatre where they have their first meeting), it doesn't involve Sandman. The Sleep of Reason mini introduces Dodd's replacement.