I know how 'Liches' Generally work in Fantasy settings, and thats with the phylactery method.
Is this the same in ES? And they just carry there phylactery (soul gem?) on them? Or do they operate differently?

This question is better suited to the 'lore' forum as it doesn't pertain to Skyrim solely.

I think in the ES lore is more like a "Raise dead on self with a permanent effect"

A certain quest in Oblivion (the Path of Transcendence was the name I believe) sort of explained the process in more detail but as far as exacts, I believe you are fresh out of luck my friend. If you need help looking up the Path of Transcendence, I would suggest the UESP or the Elder Scrolls Wiki.

Better yet, here's the direct link to the book http://www.imperial-library.info/content/path-transcendence

It seems "yes", the sands of time seem to have the same function as a classical phylactery

Whats this 'sands of time'?