Many use non-sanded grout, but my personal experiences have told me that a mixture of sanded/non-sanded grout is ideal for strength, traction, and ease of application. I typically change the mixture as I go, with the first two coats being a 25-75 mixture of sanded to non-sanded grout so it can be thinned down. The 3rd and 4th coats are a 50-50 mixure, and the 5th coat is usually a 75-25 mixture in high traffic areas for increased strength and traction.
I rarely use 100% sanded, as its difficult to spread smoothly.
I typically wait about 6hrs between coats, and I only start adding color to the structure on the 3rd coat, alternating between colored and non-colored coats so I know where I have been. Once finished, I give it 3-4 days to fully dry, then seal with mod-podge.