Fred, one trick I used that seems to have worked well is to use a clear
coat aerosol primer first.  I would sand the trim finish then spray a
coat of clear primer then repeat as needed until there was a smooth
finish.  I did this with all the trim pieces.  I never removed the
particles from sanding because it filled the pits and the primer would
locked it in place.  You can do this using finer and finer sand paper
and end up with a very smooth finish for painting.  This also builds up
the finish on the trim to make it look more like a new stock piece and
it makes the trim pieces match better, IMO.

You can also use the same technique for the quarter window trim to very
good effect.  Just tape everything off good and do it over several days
to give plenty of drying time between coats.