Question about rolling on primer

Okay, small question about rolling on primer:

I diluted the primer (Valspar's Oil Based Sandable Primer) until it was pretty much like greay skim milk. I roll it on, tip it with a clean roller (high density foam roller), keep a watchful eye out for runs, let it dry, then sand it down with an inbetween coat hand sanding, wipe it down, shop vacuum the garage for any dust sniglets running around, then wipe it down with a clean cloth with mineral spirits, let dry, and inspect.

I'm still finding areas of orange peel. Since this is a primer (I'm on my second coat) will the primer eventually fill in the orange peel or do I continue sanding that down?