Yup, it's do the entire thing, single stage at a time. You *could* break it up but it'd take a LOT LONGER. When you're working with a product, you want to keep using pads as you go. Swapping old dirty ones for new fresh ones and tossing them in cleaner as you move to a new one.
If you tried to compound, polish, seal, wax, etc. you would have TONS of different pads going on at once. It takes a lot of pads to compound a car, a few less to polish, then only 1 (or 2 at most) to apply sealant. All of them though are different colors. Can't imagine trying to lay one down, move to polishing, go back to the compound pad only to find it's totally dried out. Nope, one stage at a time saves you a lot of headache.