In any complete restoration or body repair project, you will to sand primer at one point or another. However, most manufacturers of self-etching primer, due to the acid base of the products, don’t recommend directly sanding the self-etching primer. These manufacturers recommend performing the heavy body work, applying the self-etching primer, allowing that to dry and applying a coat or two of a quality urethane or epoxy primer, and sanding that. It should be noted that self-etching primer is mainly an acid base with pigments added, so you should be wearing a respirator when applying it.
For more info, see Self Etching Primer vs Epoxy Primers