Was this actually a practice?

Indeed it was; as well as [government buildings] (http://www.iwm.org.uk/collections/item/object/205197146), sandbags were used to protect [petrol pumps] (http://www.iwm.org.uk/collections/item/object/205087754), [restaurants] (http://www.iwm.org.uk/collections/item/object/205082009), [factories] (http://www.iwm.org.uk/collections/item/object/205198723), [statues] (http://www.iwm.org.uk/collections/item/object/205195892) (see also [the Victoria & Albert museum at war] (http://www.vam.ac.uk/content/articles/t/v-and-a-at-war-1939-45/)), even [flamingo houses] (http://www.iwm.org.uk/collections/item/object/205082010). They obviously couldn't do much against direct hits or close impacts, but offered some protection from bomb blast and splinters. Slightly more permanent protection could be provided by [blast walls] (http://www.iwm.org.uk/collections/item/object/205198124) and [bricking up windows] (http://www.iwm.org.uk/collections/item/object/205198122).

... did it actually do anything to protect the people inside the buildings?

Ideally people would be in air raid shelters during the raids themselves. According to Richard Overy's The Bombing War, up to 80% of casualties in the aircraft industry were caused by glass falling from roofs and windows (sandbags could only be piled so high), resulting in glass being replaced by solid material.