You'll want at least one friend with you, more if you're doing the ceiling. While you can cover up a lot of rough edges, seams, holes, etc (mistakes) with mud and tape, the better you can make the fit, the less mudding you have to do.
Plan on lots of mud when finishing. A normal sized room would take a couple of gallons, buy a 5 gallon bucket to be safe. If you've never mudded you might get some help with it or find a book or video. You'll need at the very least a 4 inch knife for taping and initial coats, and a 8 or 10 inch knife for the finish coat.
For sanding, that dust will get everywhere. You'll want to hang some plastic to keep it out of other rooms. Get a couple good dust masks, and if you use a vacuum at all to clean up, there are special bags you can buy as that stuff will tear up your vacuum cleaner. You can use a sponge, but I've never been able to get quite as smooth that way. For rough sanding it would be fine. Sanding sponges (the dry kind) work better than the mesh sheets IMO. Don't even try regular sandpaper.
Painting, especially with any amount of glossiness, even an eggshell, will bring out any roughness at all in your finish work. I hold a lamp or worklight at various angles along the wall to see areas that need more sanding. Plan on it taking 3 or more coats of mud if you want a real smooth finish. Hope you're not in a hurry. You can help with the appearance by using a flat paint if possible. If it's a kitchen, bathroom, hallway or kid's room don't do that. You can also cover up a great many mistakes by using a wall texture. Plus then you get to rent a texture gun and shoot the stuff all over your walls.