The correct answer is D. I only.
Here's the reasoning:
I. It is a physical change. - True. Shaping the sand into a sand castle does not change the chemical composition of the sand; it only changes its physical form.
II. It makes a new substance. - False. The sand is still sand, and no new substance is created by simply changing its shape.
III. It is a chemical change. - False. A chemical change involves a change in the chemical composition of the substance, which does not occur when making a sand castle.
Therefore, only statement I is true.