Only few have ever made their way in and out of Oz. I say only few, because unlike our dimension (Earth), Oz is cut off from the rest of the world by a terrible, four-sided horror. Each side is given it's own name, but as a whole it is known only as the Deadly Desert.
Here is where magic takes the form of destruction rather reconstruction, and where the imagined and realized are placed on equal ground. For no one can touch the sands, unless they themselves wish to become part of the desert...forever. But, if you look closely, you can see them--shifting in the moonlight, swaying to the sounds of the winds and clustering in sand hills. They are the See-Throughs--spirits of former travelers, merchants, knights in shining armor, queens, kings, beggars, thieves. These are the people who tried to escape their lives by running from it--whether they were from Oz, or our realm.
Only a few have found ways of crossing--Ozma, the queen herself, utilized a carpet that never-ended. Dorothy, Shaggy Man, and Button Bright use a sand-ship. But, to those not fortunate to be the main characters or people of great influence, the desert is impossible to cross. Unless you can ask one of the merchants along the border, but even then you need just the right money (and trust) to get through.