I just did this three weeks ago. I have a 200 TJ, and my fenders were shot. All I did was buy a sandpaper sponge block, light grit, and sanded them lightly, there is no need to sand for hours, you'll just waste your time. As brown.jasonc said, dont use heavy coats, if you end up getting a run, (which I did) its realy tough to get it sanded down and look right. I had to wait or it to dry, and then sand a big spot down to try to blend it in. It sucked, so make sure you take your time, even light coats, and it will turn out great. I'm proud of mine, they look great. Krylon Fusion is about 5 dollars a can and I used 2 cans, one on each side of the vehicle.
Taping off the fenders and the tires is a great choice. Be sure to use painters tape, so that it doesn't leave any residue, and tape plenty of newspaper over the factory paint and accessories so that any over spray doesn't ruin the factory paint. I tried removing my fenders, but it is really tough, and the screws are usually pretty weathered. Best advice is take your time, mask and tape everything well, and use even light coats.