It depends.
If you are ready for paint, you can use a wet on wet sealer system that allows you to seal, wait for the recommended flash time, spray the base coats, flash and then clear. This is the way production body shops do it. Fast and easy = $$$.
But, for a restoration I sand between each step (not between color and clear though). I start with bare metal and apply an epoxy primer. That dries for a day or two and I scuff it with red scotchbrite. I then do all my body work, panel replacement, filler, etc over and through the epoxy primer. Then I apply a another coat of epoxy, wait the recommended time for flash and apply a few coats of a high build primer. Block, and repeat till straight. I will have finished the high build primer to 220 or 320 grit finish. Then I apply another couple coats of epoxy primer as my sealer. I have a 7 day window to apply paint without sanding, but I wet sand the exterior panels anyway with 500 grit to remove any texture or dust. Then it's ready for the base coat. Sometimes I will apply the needed coats to achieve hiding and quickly give it a light sanding to remove texture and dust (depends on what the guy is wanting for a finish). I apply a couple more drop coats for good measure, wait the flash time and apply 4 or 5 coats of clear.
So, it depends. You want it quick or perfect??? epoxy can be used for both.