It is not necessary to sand between coats of stain. However, if you do take the extra time to do this, it will provide a better finish. The best method for this is to wait until a coat has dried, then use 220 or 240 grit sandpaper to lightly sand the surface. As you do this, you will notice a white film over the finish as you sand. There is no need to worry as this will disappear as you apply the next coat. Always remember, it is vitally important that you do not sand the final coat.