If you are at the beach, you could be on the sand, in a restaurant, at a gas station, etc. but you at the very least you would be near the beach.

Where is Fred?

He is on the beach.  (He is lying on the sand, he is making sand castles, etc.  If you walk on the beach, you will find him.  The answer is very clear.)

Have you  seen Mary?

She is at the beach.  (Maybe she is on the beach, and maybe she is spending the day  at a friend's house in a town near the beach.  The answer is vague, not clear,)

on the beach = na praia

at the beach = na praia ou pelo menos perto da praia