The story told in the main Sandman arc (which takes up ~75 issues and 10 trade paperbacks) is not something that you can adapt to a feature film. It's too long and complex and the pieces are too beautifully interdependent.
Part of what makes Sandman brilliant is the way in which Gaiman introduces a dozen different plots and subplots, and somehow manages to tie them together by the end. When you first read the Sandman books, many of them seem to be self-contained or episodic in nature... but by the time you've gotten to The Kindly Ones, you realize that the stories aren't self-contained at all. Almost everything in the 75 issues of Sandman (well, let's say 90% of it) is designed to set up a single, very focused story about Morpheus and the decision he must make. Everything is either required for the plot, or it's required for thematic reasons.
Just to take one example: the whole sub-plot about Hob is designed to tell us something about Dream's isolation and how he deals with it. Without that, the events of The Kindly Ones don't make quite as much sense.
There's a better solution, which is just to tell Gaiman to write some more Sandman stories for the screen. We've established that the Endless hang around for billions of years and on billions of worlds-- surely there are a few more stories to tell? It's not that much of an ask. Gaiman has decided over the years that he doesn't mind going back to the Sandman well now and then (often with good results-- I thought Endless Nights was great, for example).
Oh yeah, and Cumberbatch for Morpheus (Gaiman himself said it was a good idea). Linda Hunt for Despair.