That's exactly how you do it. Progressively finer grits. You'll find that each brand of paint requires a different maximum level of fine sanding before it is too smooth to stick. Paint and powder require some texture on the substrate, they "bite in" to the scratches to form a mechanical bond. Only the upper coats go directly on smooth base layers, and at that, smooth means about 400 grit for intercoat sanding. Unless paints have changed a whole lot recently, been a few years since I picked up a spray gun.
It's no different than painting wood. Too smooth and the paint will pop off once it ages and shrinks.