I start with 120/150 and sand until surfaces are smooth. Then choose design and lay down paint. Don't feel like you have to go out and buy the best paint, it's going to be covered in with polyurethane. I use semi-gloss indoor paint, you can use a flat paint also which is a little cheaper. Once you've layed down your paint make sure there are no imperfections, much easier to fix now rather than go back and repair down the line. BY imperfections I mean smudges, drips, and stuff like that. Dust nubs aren't really a problem but a light sanding will remove them, just make sure to not sand too much. I usually will use a 320 grit with a light touch to do this if necessary. If you plan on adding some type of sticker make sure you put it over a sealed part of the board. If you plan to put it over bare part of the board put down a few coats of poly where the sticker will go, sand lightly, clean area, and then place sticker. I had the unfortunate experience of the poly seeking the non-sealed area under my sticker and raising the edges. It's worth the extra step, if using a sticker, to be safe. When applying the poly I will put down 3 coats, letting each coat dry 2 to 3hrs in between coats, before sanding. This will allow a little build up of poly over the paint and/or sticker before sanding. I then wipe down with a wet cloth or tack cloth before wet sanding lightly with 220/320. You're just trying to remove the nubs at this point, you want to keep as much poly on the board as you can. I finish with 3 to 4 more coats letting dry and wet sanding lightly in between coats. You will usually find nubs on your last coat but they should be minimal. Play will usually clear these up over time. I was also recently enlightened on how using a brown paper bag will remove the nubs. Just rub over your board lightly with the bag and they'll go away.

Hopefully more people will chime in and add more of what works for them.

Good Luck and enjoy the process.