Polishing is something that is quite a bit harder than you might expect, depending on what standard you are aiming for. It can take a lot of practice to get good at it.

First you have to be sure that you have actually removed all the rougher grade scratches. 400 grit is actually pretty harsh, and you need to remove quite a lot of material to remove all of them. The best thing to do is to alternate your sanding direction between each grit. So for example for the 400 grit, only sand horizontally across your part. Then with the 600, switch to vertically and keep sanding until there are no horizontal scratches left. Then go back to horizontal with the 800, etc.

Then for compounding, first of all pad selection makes a big difference. Microfibre pads are the best for initial cut and actually achieve a very good gloss as well. Foam pads (stick to orange or yellow) don't cut quite as fast, but can achieve a better finish with less swirl. 

The compound you use is also important - they certainly aren't all equal. I would recommend the l NW1 compound that Easy Composites sell, it is far and away the best compound I have ever used, and it negates the need for a 2-stage system (I actually haven't managed to get great results with the TopFinish2, which is the second stage meant to follow NW1).