My strategy, which I recently adjusted and got quite nice results, is as follows: after construction, use bondo filler putty wherever necessary, yada yada, and get the surface really smooth. sand it down, and then sand it down some more, reapply as required. Then I go with a bunch of coats of Rustoleum grey auto body primer. It goes on pretty heavy, and covers anything. Sand that down, getting everything really smooth, and then hit it again with primer. And again, and again, until the tube has the final surface smoothness, not glossiness but smoothness. That way, when you put on the color coat(s) you aren't filling anything, just recolering a surface. Then hit it with the colors, going fairly lightly. Wait PLENTY of time for it to dry, and then sand lightly with 400 grit, maybe 220 if it needs more work, just to smooth any minor imperfections out and take the shine off to promote adhesion of the next layer and prevent runs. Once you're completely sure it's dry, hit it with as many further color coats as necessary, using a tack cloth before painting, and doing light 400 grit sanding between coats. This should give a pretty nice surface finish, and make sure you stick with the same brand throughout, and even the same system throughout to make sure the solvents play nice. I use Rustoleum, not the 2X. I've found that to work poorly IMHO.
Nate