I don't believe the picklist is an ADF component. Some of the sandbox components may have came from the ADF contribution, but since they are in sandbox I believe they no longer have any ties to ADF in that regard.
That being said, I have no idea about WAS6. We are using Websphere6 but not WAS. I ran all the sandbox examples and they seemed to work fine.
You should be able to just include the sandbox jar and add the taglib declaration to your pages. I will remind you that these components are considered BETA which is why they are still in the sandbox library. So any issues you have will probably be related to immature components still being modifed and changed and enhanced on a daily basis.
You'll probably want to make it a habit of getting the latest build at least 2-3 times a week to make sure you are getting all the updates regularly. Especially if you run into issues. You never know when they might have fixed the bug you are experiencing.
