April,
You'll definately want to sand the primer before painting, especially if you use the rattle can. Marq had a very detailed explaination of why a page or two back. Basically, it comes down to the way the primer (or any rattle can paint) flows onto the surface. The sprayed on primer would have a fuzzy surface to it that would not allow good adhession of the paint. By wetsanding the primer, you remove the fuzziness and provide a solid base for the paint to stick to. Also, the rattle can layers of primer would be extremely thin so there isn't much base protection. For example, the hood of my truck had some pretty bad surface rust, so I sanded the entire hood with 80 grit paper, then sprayed it with 2 coats of rustoleum rattle can primer. It's been about 8 months, but the hood is starting to rust again. I know that primer isn't meant to be a weather sealer, but it's the best I could do at the time. So now, I'm going to sand the hood again and this time I'm going to roll on rustoleum's rusty metal primer. Eventually, I'll get the ret of the body work done on the rest of the truck and paint the whole thing.

One really good reason for using primer before painting is to provide a solid base of one color so the vehicle doesn't look splotchy, especially if changing colors.