Dream Sand creates dreams, fulfills wishes, or even puts mortals to sleep. It’s how Morpheus interfaces with the bulk of his powers and is a conduit for his abilities.
The Helmet of Dreams is his symbol of the office and serves as his sigil by which the other Endless can recognize or call upon him. Essentially, the Helmet of Dreams makes Morpheus feel good, mostly.
The Dreamstone is the most challenging item to explain, as it’s never really said to have inherent power outside of what Morpheus imbibes it with. Morpheus doesn't need it all that much, considering what happens in the wake of the John Dee incident.