Errmm didn't put that too well did I? see small print:D
No need to sand the bare wood, trade practice around here (other areas may differ) was not to bother as the planed wood is not as microscopically smooth as it looks, some picky people even like to vacuum clean it to remove dust from the grain.
Sanding just wastes time, if overdone it can spoil the nice edges and can make it all dusty, which might put dust in the ally primer which can make nibs that will show through when you sand the undercoat.
Sanding the ally primer will cut through the nice paint surface into the ally particles, paint does not stick well to ally. Don't do it!
Putting the undercoat on before sanding will protect the integrity of the primer.
Be sure not to sand right through the undercoat either!
I know all this because I once had the paint lift off in sheets from a pair of new doors because I sanded the ally primer, couldn't understand it till I spoke to a proper decorator!
One of the other causes of paint blistering and lifting off is softening of the undercoats by applying the next coat before the one below has dried properly, so for goodness sake slow down!