Since I started the drywall pinhole thing, let me add something as to why it works and why it is Ok.
A pinhole is like a very small, shallow hole drilled partially into a material. When you try to press a filler into the hole, you can trap air below the filler, I.e., you just put a skim coat over and slightly into the hole. When that filler is hard and you are sanding the surface, you will be removing some of the original surface material. If the filler is very thin and did not penetrate very far into the hole, the pinhole comes back. So you do it again and this time, while sanding, you succeed in filling the previous hole but remove just a touch of the original surface and expose another pinhole. Just below the best paint jobs are some pinholes that are only partially filled!
Before using drywall mud, the surface wants to be finished to the point where you would spray your final primer coat before color. The dried mud is so soft that you don't remove any of the original surface while sanding. When you put on the epoxy primer it will completely saturate the dried mud. If you spray at this point, you might not completely saturate the dried mud. I used a squeegee to move the primer around because you want enough primer to completely saturate the mud but not leave enough so you have to sand hard and remove original surface material. On surfaces where a squeegee will not work, I would use a soft brush.
The final sanding, with 320 wet/dry used wet, is only to remove any roughness on the surface from the primer and should leave some primer on the original surface.
I use DAP drywall mud from the local hardware store.