DoItYourself.com has a good quick look at sanding and how to go about it the right way. Check out the full article right here, or see the important parts of it below:
Step 1 – First Layer
Using rough grade sandpaper with a sand block or a rotary electric sander, sand off a thin layer of wood over the entire surface of the furniture using smooth, circular motions. Remember to take off only a small layer of wood with each pass. If necessary, you can perform second or third passes to fully remove marks.
Step 2 – Keep It Clean
Periodically use an air can or vacuum and brush to remove excess dust. This will allow the sandpaper to work more effectively.
Finishing it Off
Step 3 – Smooth It Out
Using a fine grade type of sandpaper and a sand block or a rotary electric sander, sand the wooden furniture in gentle motions until the wood has a smooth feel. Run your fingers against the wood to determine if you have achieved a smooth finish. If necessary perform more than one pass to finish the furniture.
Step 4 – Remove Unwanted Dust with a Vacuum
Using an air can, a vacuum or a broom, remove any excess dust which has been deposited on the furniture.
Step 5- Clean Furniture
Using a rag, wipe the furniture clean. It is OK to use a little water to fully remove extra dust but this is often not necessary. Do not use any form of cleaning chemicals as this can damage the wood and prevent the stain or varnish from setting properly.
At this point, you can place a coat of stain or varnish on your wooden furniture. If you are not looking to change the color of the furniture from the natural color of the wood used then you can apply a clear layer of sealant.