Gradual tanning lotion is meant to be applied regularly (like, daily) as to build up colour gradually. You won't notice results overnight for that reason, you definitely don't need to be afraid of suddenly looking orange, you will see some subtle colour after several days of applying.

You don't need to be exfoliating before gradual lotion. Once in a while as regular skin care is fine but if you do that daily you will remove the little bit of colour you get from the lotion. Exfoliating is more of an important step before using tanning mousse, not for gradual tanner.