You have to be very careful when sanding veneer with any type of power tool.
Usually the veneer is only a 32nd thick so you can go through it very
easily. When sanding, you are removing the scratches that were made by the
previous grit of sandpaper. I would sand by hand, start with 100 or 110
and go to 150. You may want to go to 180 but not 220. This will just start
to polish the surface and will make finishing more difficult.
Use a padded sanding block when you sand, with a cork bottom or a folded
paper towel even between the block and the sandpaper.