Michael, Its unlikely that you have to sand everything. You cut the parts off of the sprue then sand the edges and the molding lines from the edges left from the machine that makes the parts.
You should probably go by the directions and assemble in sequence without cutting all of the parts off or you will get lost and lose parts. Use a sanding stick and file (for heavier removal).
Before anything you wash all sprues in warm soapy water, rinse and dry, in order to remove oil residue from the manufacturing process, otherwise paint may not hold to the model.
Slow and steady wins the race. Even the best of us learn something new every week in this hobby.