Should I sand each layer of mud when joining drywall?
Yes, knock off any bumps between coats, but there's no need to get it perfect. A screen sander on the end of a pole is the best tool for this job. And it goes without saying that you should minimize any bumps while the mud is still drying to avoid having to sand it later. Some even recommend using the premix joint compound on the last coat and, just before it dries, going over it with a slightly damp sponge to take off any bumps.