Welcome Andrew. Your question is something that you will need to figure out what works best for you. But the fact that you are asking shows that you understand the principles of precision turning.
For me, most of the time, I turn down to .005 below the size of the nib end, center band or clip end. I measure them and then turn to below size and build up with CA.
I don't know if you have been noticing some of the precision turners turn with special techniques (me with a very precisely sharpened scraper and others with skews, turn without the need for sanding. This techniques is that smooth.
If you do want to sand, I would turn to close to exact size and then sand down below size by .005 and build back up with CA. However, when using sandpaper at the point, I would not use anything less than 400 grit. It might take a few seconds more sanding with hight grit, but you won't have to over sand to make up for deep sanding marks.