yes, you have to wet sand to get rid of orange peel.
the results (if done properly) are really astounding, but there is some risk - take off too much clearcoat, and you'll
- diminish your level of protection from UV - damage (risking clearcoat failure in the future)
- reduce the amount of scratches you can remove in the future (as gmblack pointed out).
It's also a lot of work to do this properly. When I thought about it, I decided it really wasn't worth the work and risks -- my car is my daily driver, and sits in the sun on most days while I'm at work.
If you have a true garage - and show- queen, it might be worth it to pursue this.