Sapphire Bullets is really They Might Be Giants. In several live shows, TMBG has opened for themselves as a band named Sapphire Bullets, playing a set as the Sapphire Bullets before switching to performing as They Might Be Giants. Sapphire Bullets always plays the entire They Might Be Giants album Flood, in order.
When Dylan left the band, he was replaced by Stormy Black.
There is more information on the Sapphire Bullets at This Might Be a Wiki.