I would use 400-600grit for the first coat and yes primer is important as it will take out most if not all the little sandpaper marks, The clear coat is just for protection against wear and chips and other stuff. Yes if your using the heating method reapply when the slide is still warm but be carefull make sure the prior coat is dry. And make sure if its plastic your not heating it too much as it WILL Warp or melt your slide. I take no responsibility if you overheat it and melt it......8)
Squeeeeeeek!
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