I've used the Thermacell for around 4 or 5 years now in Finland.
Works really well, on damp & sheltered crag bases to protect the belayer from mossies and small amounts of midges. Don't have sandflies here, so can't say. Neither can I recall if they help with horseflies.
So they are quite nice for projecting sessions (be it boulder or roped stuff), in generally protected forests (ie. no wind). And naturally for say flyfishers (and hunters in a shooting booth), the latter being the ones I recall it was originally designed for (hunters & fishers).
Use the Thermacell in Northern Norway where it is available in pretty much every supermarket in the summer. Works well on still evenings and works very well against horse flies too.
"At £30, plus the running cost, it's not wildly expensive."
I see it's essentially the same insecticide as a mosquito coil.
£30 plus proprietary refills is a lot more expensive than a mosquito coil holder at about 6 quid. The added bonus of the ones that sandwich the coil between glass fibre nets is that you can burn it at both ends. Or break it in half and burn it at 4 ends, or more if times are desperate. The coils are cheap, leave no waste apart from a little ash, and come with no plastic packaging. Also it's immediately obvious when they've run out - is that the case with the Thermocell refill thingy?