I tried every possible combat spell against sand devils but, unlike sand minions, sand demons and sand horrors, they seem completely invulnerable to them. They seem to be vulnerable only to physical damage, but my character is a wizard and isn’t very strong in close combat. I tried to use summoned creatures, but they die too quickly and take too long to kill even one sand devil.
Is it a bug or is it supposed to be like that? Earlier I had a similar problem with boars, bees and wasps, who for some reason became invulnerable to fireballs, but later the bug stopped.

I used lightening at a distance and sword once they got close. Try to lure one at a time and lead it back to territory you have already cleared so you don't run into several at a time. Slow your game play if they are too strong for you. I have only played as a Warrior and a Survivor but I would think the Wizard could take them out easily.
Hopefully you have not neglected your strength. I used the two-handed Blade of Chaos which took them out in a couple of strikes.
If you haven't been clearing every map you may need to go north and clear it to gain some levels before going south / southeast, my character has just cleared the upper wasteland map and is at level 45. . =)
Edit: Seems like Hell spikes would work well too.

I tried hell spikes and they work well but lightning doesn't to any harm to them. Is there any patch that fixes this bug? And my strength is only 65, even though I am at level 46. I used most of the points for intelligence and constitution.

I don't believe it is a bug but rather a character build that is unbalanced. I placed points in strength and agility for combat. I increased other stats using charmed equipment, picking intelligence charms and resistance charms whenever possible. I swapped out slotted armor for armor with more slots beginning early in the game which left me with mostly 5 slot armor and weapons.
You may need to buy some strength charms to increase your effectiveness in combat. My current build has worked well in all situations so far. (see attached image)
If you have not done so you might try clearing the North, West and Southwest areas before taking on the sand devils which are mostly in the East and South / Southeast areas.
Edit: Magicians are very powerful in DD. I would also try Meteor Strike and other spells that would do physical damage. I don't believe you have found the right weapon for the Sand Devils yet. Once you find out what is most effective on them you should be able to easily deal with them.
You will get the best results using level 5 magic spells. I picked two or three favorite damage spells and spent points on increasing those to level 5 adding other less useful and utility spells as the game progressed. Depending on how you have distributed your skill points (many spells but low level) . . . the spells probably won't work as well at level 2 or 3 in the last stages of the game where level 5 magic is required.