"I'm still really attracted to woods and really scared of them," says Sanchez. That makes sense. As the co-director of The Blair Witch Project, in which a band of students go in search of the titular spectre, Sanchez did for woods what Jaws did for swimming in the sea. Woods also made him hugely successful at a young age, and therein lies another tale.
Fourteen years on from Blair Witch, Sanchez is back with Lovely Molly, a psychological horror about a young woman forced to go back to her family home and confront the past.
"Ever since I saw The Exorcist as a kid I've been interested in doing some kind of possession movie," says Sanchez, speaking at the Edinburgh International Film Festival before the film's UK premiere.
Gretchen Lodge, who plays Molly, was found during an open casting session in New York, the same method Sanchez used for Blair Witch.
"There were half a dozen more established actresses in LA who were interested in the part but something about Gretchen felt right. She was very confident, very smart, not only beautiful but with a certain style to her as an actress. And I trusted her. I felt like she would be able to go to the places I needed her to go."
Now a dad of three, Sanchez says that, as he gets older, he feels more of a fatherly duty of care to actors, particularly with material such as Lovely Molly, which he says is the most difficult film he has done.
"The content was incredibly graphic, and there was a lot of nudity. Psychologically and physically, it was a very uncomfortable, demanding role." Lodge, however, coped just fine. "She'd break into it then the next minute she would be making fun of me. It was very easy with her."
Sanchez, now 43, has an easy-like-Sunday-morning air himself. Surviving a tornado of publicity will do that for a man. It's hard to credit now what a phenomenon Blair Witch was in its day, when every film nowadays is seems to be hyped to the hilt. By the time of its release, courtesy of a brilliant teaser trailer and internet campaign, the publicity bandwagon was running at 100mph. The faux documentary, "found-footage" scary movie, still going today in the likes of Paranormal Activity, was born.
The final budget, Sanchez told Entertainment Weekly, was between $500,000 and $750,000. The film's earnings to date, as calculated by Box Office Mojo, are $248 million (£160m) worldwide.
"Blair Witch was an atomic bomb," he says. "It created an incredible amount of opportunity for us, but at the same time we were really young. I was 30 years old. We were just unable to deal with some of the stuff that came our way. We had proper mentors but didn't have anybody pushing us. Our agents were telling us we had to do this and that, but we made so much money there was really no reason to go in and do anything else."
Among the opportunities to come the way of Sanchez and co-director Daniel Myrick was a chance to make a prequel to The Exorcist. They turned it down, as well as increasingly lucrative offers to make Blair Witch 2 (although they were listed as executive producers on the poorly received Book of Shadows).
Blair Witch put Sanchez into a financial comfort zone. "We made enough money to be able to ignore Hollywood, its temptations, and anybody else." Although it would have made him even more cash, he has no regrets about not turning Blair Witch into the kind of four or five picture franchise so common today – even if he has only made a handful of pictures since.
Besides those woods, Sanchez, who left Cuba with his family at the age of two, is still creeped out by "pseudo-documentaries" on ghost-hunting, and, the fatherly thing again, he steers well clear of any movie that features home invasion. "I have no reason to see that. There's already so much of that in the real world."
He recalls a visit to the UK in which he and Myrick had dinner with Terry Gilliam, director and Monty Python legend, when the Blair Witch madness was at its height.
"He said, 'You know, it's going to kill you guys, it's going to eat you up.' We had heard it before but we said, 'Nah, we're the Blair Witch guys.' And it was absolutely true."
But he survived and now an older, wiser, happier Sanchez has lived to tell the tale of Blair Witch and go on making movies.
"I definitely haven't had the same success since Blair Witch, and I never will again – it was just like lightning in a bottle – but I can say with a lot of pride that every movie I've done I've put my heart and soul into it. I haven't sold out. For me that's very important. I won't say that I won't sell out. There's always that temptation to do something for the money or the wrong reasons, but up to this point every single movie I've done I'm super-proud of and I did films for the right reasons, the same reasons I did in film school."
Cineworld Glasgow Renfrew Street, Cineworld Aberdeen Queens Park, Odeon Edinburgh Wester Hailes, from tomorrow