Self Etching primer is for directly on bare metal. It helps with adhesion of the primer to the metal. As you already have primer on the metal, self-etching primer would not be a good thing at this time.
Absolutely DO sand the primer coats. Go with 600 wet sanding with a small 2"x4" wood block. Get a bowl of water and dunk the sandpaper in it every 20-30 seconds, and drop some water on the surface with your hand. Keep it wet. Use small swirl motions and work a small area at a time. As you work it out, you will notice the block scuffing the higher points in the paint. When it all becomes the same finish, it is flat and you're ready to move on. Wash off as much of the residue as you can, then wipe the panels down with a lint free rag and alcohol or any other cleaner that won't leave a residue.
Of course, this is very messy. Don't do it in the living room. And wear old shoes.