As you sand, you must use several consecutive grades of sandpaper, working your way from coarse to fine to achieve the degree of smoothness you want. Remember that the grains create a scratch pattern in the surface. The larger the grains (or the coarser the grade), the larger these scratches will be. When you move to the next-finer grade, you trade the first set of scratches for slightly smaller ones. If you jump grades, the fine abrasive grain may be too small to level the scratches without a lot of extra work - it will be like leveling a mountain with a garden spade.
As a result, the surface will be left with an uneven scratch pattern, with deep scratches in among the fine ones. Because these deep scratches fill with fine sanding dust, they may be nearly invisible to you until you apply a finish. Then the finish will darken the torn end-grain fibers in the deeper scratches, making them stand out from the surrounding surface. This will ruin the smooth consistent appearance of the surface.
Article provided from "The Workshop Companion, Sanding and Planing, Techniques for Better Woodworking" by Nick Engler. Permission of use granted by Rodale.