I started with CWF, but it frustrates me sometimes. So, I used some AeroGloss sealer, which, once I got the hang of it, I really liked. I haven't tried the Brodak yet. I want to, but the shipping is kind of high, so I need to buy a large amount of it to make it worth it, I think. I haven't found it anywhere except on the Brodak website.
I'm not a huge fan of papering, unless I'm leaving the fins square, which I rarely do. I recently did a good job of it though, probably for the first time, on an Estes Photon Probe (which I left square). I used paper and wood glue. I've used Avery labels in the past, but I've had them peel after a while. I've also tried spray adhesive, with some good and some poor results. I meant to try glue stick, but I let my glue sticks get old and they dried out.
My preference is for sanding sealer at #1, CWF at #2, and papering at a distant third. With just primer, I had to use so much of it to get the results I want, it got pricey.
Even when doing the sanding sealer, I think I prefer to do it before gluing. I like the idea of getting the fins on the rocket early, so I feel like I'm getting somewhere, but I think it's easier to sand if the body tube is not in the way. When brushing it on, I'm just really careful not to get any on the root edge. I haven't had any problems with fins popping off due to poor adhesion so far.
I've considered trying hcmbanjo's method of priming first, as it looks like it's a lot easier to sand everything without it all glued together, though I've never tried it. I usually leave a bit more primer on my rockets, so I can see whether I've actually got the surface smooth, so I like having a coat of primer on the whole thing to see what I'm doing. When I sand down to the paper, I sometimes overdo it and raise paper fibers, but I don't see that unless I put another coat on. But on this recent Photon Probe build, I really wish I'd tried priming first, then gluing. All the little fin bits make sanding a real chore on that one.