I feel your pain. I am relatively new to turning as well, and went through a period where my turning skills got much better but, because of poor sanding technique, my finishes were less than satisfactory.
Here is a synopsis of what I've learned:
1) Power sand whenever possible. Recommend purchasing a starter kit from Vince @ http://vinceswoodnwonders.com/store/
2) Use good quality mylar or synthetic backed aluminum oxide sandpapers when hand sanding.
3) Wipe well with denatured alcohol soaked paper towel or blow off with compressed air between grits. There are always stray pieces of the previous grit left behind, and they will scratch each successive step.
4) If your lathe has a reverse setting, use it. I frequently start sanding in both directions after 320 grit.
5) Don't move to the next grit until all the scratches left behind from the previous grit are gone. For instance, if 220 grit didn't get the surface smooth, 320 grit won't either.
6) After the last grit, which for me is 800, use a cutting wax (Dr. Kirk's or U-Beaut EEE Ultra Shine) to remove the last vestiges of sanding marks. At that point the surface should look almost as if you've already applied a finish... but don't believe it, it will dull very quickly if you don't apply a true finish. Remember though, that these products contain wax; depending on the finish, you may need to remove it with acetone, naptha, or DNA before applying your finish if that finish is not compatible with wax. Most/all oil soluble finishes (shellac, poly, or any of the "thanes") are compatible; water based finishes (such as General Finishes Woodturners Finish) are not.
Hope this helps.