Kim - for the best finish -
Take your time. Enjoy the process. It will be over soon enough and there will be heaps of time to play it later. I enjoy playing my hand built kits more than my Ibanez bass - why - I built it and it's mine.

Sand. Sand. Sand. When you've done that sand again. Generally you know when to stop if you hit the body with a damp rag and leave it to dry for a couple of minutes and don't get any fuzz. Grit of sandpaper to use will depend on finish - stains generally like you to sand to 320 / 400, but no further (you can end up polishing the body so no stain will get in). Sprays can handle a bit more (check Jarrod's comments on how to spray). In contrast - the neck generally only needs a quick sand - too long and you will risk leaving a divot somewhere.

Don't rush. If you ever feel like you are starting to rush, put everything down, stop, grab a beverage of choice and come back later. I rushed and ended up dropping a finished body 90 cm onto a concrete floor. End result - sand it all back, fix the cracks and stain again.

Most of all - start a build diary and take photos. If this is your first build, I'm sure that there will be questions - don't be afraid to ask. We've all had a first build. Also as above - don't rush - if something goes wrong - put it up on the forum - there may be a fix that will save a heap of time to get it right. I was struggling to position the bridge on my first bass and that night DB had a tute on how to position bridges (now sticky'd to the how to build your Pitbull Guitar area) - I was about to base some of my measurements on cruddy assumptions that would have ended up with a less than average guitar.

Enough monologue, so I've saved the best for last - enjoy the process. It can take time, but that's all part of the fun. As my grandfather used to say - if you went fishing - catching a fish was a bonus - the fun was in spending time fishing. I think the same applies here.