Yes, sand the primer throughly. It is one of the steps that will give you a better final result. If your color coats are a urethane like Imron, I would use a 320 grit dry paper (wet is okay too). I forget the model name of the sandpaper I use from 3M but it is a gold color. I used to use a white paper they made called Tri-m-it. I like to cut up a full sized sheet into small rectangles. Usually that means I keep cutting the paper in half until they are 1/16th the original size. I get a tube or two out of one of those small pieces before I throw it away for a fresh one. If I am using a base coat/clear coat system then I sand the primer with a wet/dry 600 grit black paper. In this case I sand it wet. This finer grit is necessary because base coat colors (like a House of Kolor Shimrin) are thin and will show the sanding lines of courser paper.