Graduate program while employed by National Lab

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MelioraGator
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I will be graduating with a BA in physics and BS in Electrical Engineering in May. I want an optics PhD. I attended an info session on Sandia National Labs at my university, and the recruiters made me think about a PhD program through a national lab. If someone has experience with the National Labs, I would appreciate some advice on applying to a national lab, and the pros and cons of National Lab careers.

All my experience has been with academia and private sector; I have no understanding of these national labs.
 
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National Labs do not grant degrees. Most or all have programs where you can do your PhD research there, usually on the same experiment your advisior is working on there. In other cases, sometimes an arrangement can be made where the student's de factor (and sometimes de jure) advisor is a lab staff scientist.
 
Perhaps you misunderstood what was said. The national lab at Sandia may provide assistance to you in some form should you decide to seek an advanced degree while in their employ. This assistance could come in the form of a grant to cover the cost, a leave of absence in order to pursue your studies, or something else. After all, these labs maintain close contact with various universities.
 
If you get a fellowship, you can do most of your research at a National Lab. Otherwise, you need for the lab to hook you up with a professor at a degree granting institution the lab collaborates with.

I work at a National Lab as a staff scientist. The group I'm in currently has two Ph.D. students. They are both matriculated at universities where we collaborate and they spend about 50 - 75% of their time here at the lab.

I absolutely love working at a National Lab. I worked in industry for 7 years post-PhD before I came to the lab. Industry is brutal, the lab is much more friendly and I feel like I'm doing important work which I like.