You aren't supposed to sand welds. It upsets the load carying ability of the weld material. Welds have a grain to them and if you just cut across them they may end up with a less optimal grain holding the tension. Equally important is that it is far too easy to sand into the adjascent tubes.
I would use bondo, or if you have it around, 5 minute epoxy with a little talc added to reduce it's tendancey to sag, though you do need to leave it wet enough to bond. These will be fine as long as you aren't powder coating, check threads on that.
Welds shouldn't be hand finished, they should be layed down right in the first place! But often they aren't even on pretty nice bikes. Of course some welds come with that extra little pile just layed on the top, which clearly doesn't add anything. You can file that out as long as you don't go too deep.
I attached a picture of some Don Feris TIG welds that have his imaculate overmelt so that there aren't even any dimes. That is the mark of a great artist with the torch. It isn't necesarry for good welds though. And the use of bondo or an overlay of tigged bronze is considered perfectly normal.