Hi,
We go to the Sands and Islander every year. You have some options.
1. You can go to Costco or Sam's Club (if you are going to be there longer than a week and have more than 2 people it is worth it). Both are located downtown, a 40 minute bus ride away.
2. Walmart - good option also, and you don't need to buy as much food.
3. Chedurai - local grocery store, kind of like Walmart. They have decent prices. There are none in the hotel zone, you have to go downtown.
4. Sorianos - local grocery store. We have never been, but have heard good reviews.
5. RC Onsite grocery store - prices are not bad on most items, considering where you are. If you choose to have the RC deliver to your room (the on line option where you buy and it is in your room when you get there) they do not charge a fee for this. Also, if you shop at the store on site and they do not have what you are looking for, they will get it for you. I am not sure what they charge for that service, as we have never used it, but it is nice that they will do that.
6. Cancun Valet - we have not used this service for groceries, but I do understand there is a delivery charge.
7. OXXO grocery stores which are in the hotel zone - they are more like large convenience stores, but do have items the Royals don't have.
What we do:
If we are going to be in Cancun for 2 weeks, we usually head to Costco to get the main staples:
1. Juices
2. Meats (hamburger, etc.)
3. Some kind of sweet thing
4. Candy Bars - we usually buy one of the large boxes of them and give to the maids every day. They LOVE this, as they don't normally get chocolate. Chocolate is expensive there.
5. Liquor - We have in the past bought at Costco, but have found that we can pay less than a $1.00 more at the resort and not have to lug it back).
6. Bread
We have also found over the years that some things at the on site store are very expensive, too expensive for our liking, so we bring with us in our luggage the following: (These are things that you have to buy too much of at Costco)
1. Wheat thins (they are about $4.50 a box there).
2. Cheese (they do not have American type cheddar block cheese there). (We like to eat cheese and crackers as a snack)
3. Peanut Butter
4. Cashews - For us, this is a nice vacation treat.

We did see that they sold the same large container that we get at the Costco in the states there in Cancun Costco! Price was about double though.
If you like to drink liquor, they do have the off name liquor on site, and the price is not bad. (Oso Negro vodka for example, is about $6.00 a bottle, and is not bad as a mixer.) If you want the name brands, you are going to pay big for them, so I would recommend bringing your own. Juices are high at the on site store. If you drink a lot of juice, it may be worth it for you to trek to Costco or Walmart. The prices are MUCH better there. Soda is expensive no matter where you buy it, so don't waste your time treking downtown for soda. Beer prices at the resort are average, we just buy beer there.
Coffee - They supply the filters for the coffee pot in the kitchen, no need to buy any. We bring our own coffee. We do not like the coffee in Mexico.
Hope this helps!
Michelle