Speaking strictly from my own experience I find that Evil or "morally loose" parties tend to work a bit better a more sandbox style campaign. In the past when I've run into this sort of thing I never went out of my to discourage it, but I made it clear that actions have repercussions. The trick is to not turn this into a DM v the Players situation, which can be a hard line to straddle.
If the players are just play a little fast and loose, with lying, stealing and similar chicanery then they playing the role of say... the bandits/highwaymen that the authorities or heroic adventures might seek to capture. If they go full murder-pillage Evil the results will be appropriately more severe. Of course all the fun of this sort of thing is how they go about it. In one instance I had a couple of players start mugging drunks in the first session and actually killed one, admittedly inadvertently. While attempting to hide the body in what they thought was a clever way, they got spotted by guards, a chase ensued and they landed themselves in jail essentially awaiting a death sentence. It was quick, a bit of ultimately pointless fun and a lesson learned for them.
Another group ran quite different. Intelligent and charismatic con artists more or less. They weren't a good bunch by any means. They never helped anyone who couldn't pay, they often never actually did what they agreed to do if they could get some of the money upfront or lie about finishing a job. They'd double cross people, cheat, steal and generally look out only for themselves and their own personal gain. But they were smart about it, evaded authorities, paid off crooked guards and occasionally had a tussle with some heroes who came after them. It was a fun if entirely unheroic campaign.
So it can be done, but it's certainly not for everyone. The real key is, as I said initially, is to make it clear that actions have repercussions and make sure that when their selfish actions do eventually come back to bite them in the ass that it isn't because you're after them or trying to ruin their fun, but because when they do bad things there will be good people who will stand against them. It can be a delightful role reversal if done right with a good group.