If you already know this just figure that I'm telling the new-comers that don't.
When shaping a bare wood stock like the one with your kit a rough sandpaper can remove a lot of wood fairly quickly if the sanding direction is across the grain.
Just before the stock is down to the size you want change the direction of sanding so that it is "with the grain".
From this point on, all sanding with the finer grades of sandpaper must be "with the grain".
Because sanding across the grain leaves some rather deep scratches these must all be removed before any finishing oils are applied.
If they are not, they will show up like a sore thumb.
Also, some folks sand their stocks using finer and finer grades of sandpaper.
I've even heard of some that went to 600 grit paper before they thought their wood was smooth enough.
In my opinion sanding bare wood with anything finer than 320 grit is a total waste of time.
The grain of the wood is courser than that, especially Walnut.
While your sanding, you need to ask yourself whether you want the open grain filled to make a very smooth finish or you want to leave the open grain open.
If you think you will want the grain filled, save the sanding dust from the stock in a paper envelope. You can mix it with linseed oil later on to make an excellent grain filling paste.
Have fun and keep on asking questions. That's the best way to learn and the best way to avoid mistakes.