Re: Pretty close to Pelham Blue (yet another Tele Buld thread)
Looks great with the gloss. Definitely sanding time, though. I'd start with 1000 grit, give or take 200. Dry first to knock down the level of the orange peel, then wet to remove the previous sanding marks. If you are using lacquer, wet 1000 is fine to apply the next coat over, as subsequent coats will fill the fine scratches and level them into the new coat when the solvent hits them. For finishes that are not solvent based (i.e. finishes that don't harder via evaporating, but via chemical means), I'd use a finer grit than 1000 wet before moving to a new coat.
The first sanding is the toughest, because you've just built up several layers to give you some "meat" work with, adding imperfections on top of imperfections without sanding in between. But if you do a good job on that first sanding pass, the later ones will be much easier.