Going up through grits before polishing polyurethane

While I wait for my eee ultra shine to arrive, I was wondering. Is it ok to sand 800, 1200, 2000grit? That seems like a large step up through the grits. But that is all there is available. Finally does sanding only with 2000 seem the better option? Might take a few pieces but at least there is no scratches from lower grits. Thanks