Walking the coast path above Marloes Sands last week Lisa and I noticed a number of Sand Martins around the cliff tops and above the beach, so it seemed likely there were some nests in the cliff somewhere. Had a look this morning and found this - around 50 holes! Didn't have time to see how many of the holes were being visited but several were during the 5 minutes I watched them. They are in the top of the cliff visible from the beach below, south of the main beach access point but north of the 'three chimneys'.
Ref. Peter's mention of House Martins at St Ann's Head, they breed on the houses there and often feed along the cliff top, I am not aware of any cliff nests there.