Sandpaper comes in different grits. The lower the grit number, the coarser the paper; the higher the number, the finer the grit. Always start with the lower grits and you're your way up, step by step, to the higher grits. It's best to not skip a grit (i.e. don't go from 400 to 1000, but go from 400 to 600 to 800, and then to 1000). Skipping grits can leave gouges on the clay. It is also advisable to stick with one brand of sandpaper. Different brands may not have interchangeable grits. For instance, the 600-grit paper from one manufacturer may be the same as the 400- or 800-grit paper from another source. You could unintentionally be skipping grits of even going backwards on the grit scale.
Deciding which grits to use is a matter of personal preference. Experiment until you find a routine that satisfies you. You should usually start with a grit that looks and feels like the texture of your clay surface. This may be 220 or 320. Some people start with 400. If you spent considerable time smoothing the clay before you cured it, 400 may be fine, but if your clay surface is rough or uneven, you'll get better results if you start with a lower grit. Some people work their way up to 1000, 1500, or even finer grits. Others are satisfied with the finish left by 600-grit paper. It depends on what you like and your future plans for the piece. If you plan to buff a translucent piece to a high shine, then sanding up to 1000 or higher will probably help.