I've never done it (to a car at least), but am going to eventually. At this point, the two best things I can advise would be first: research, and lots of it. Different paints and primers act differently together. Not to mention that painting itself is a bit of an art. Sounds kinda like (I'm guessing since I wasnt there) the guy was just trying to get you closed, and out of his shop. Make sure the primer synchs with the other coats, etc. This is why going with one particuar brand is important.
As far as wet sanding, I'm far from pro, hell, far from amateur

, But unless its a special type of paint, i.e. candy, mystic or mica, I dont see why wet sanding would be so bad.
And secondly, like 67 said, prep is the most important step. Make sure everything ducky before even touching the spray gun.
Without getting too far into it, just my .02.
J