i find milput better to use than filler as miliput can be applied and shaped to near on the exact shape u want first time..wet it down to smooth it out and u will find it easier to get smooth flat finish. most of the time it will then only need a light sand for any bumps/imperfections.make sure u leave it long enough to dry otherwise it will not sand down very well,this is were u are getting the sanding problems,if not left to dry properely then it will tend to peel off when sanding.
i also use a dremmel like dean as using the sanding block on it u can get perfectly straight lines by using the block,easier than trying to sand it straight by eye..

dean iam working on your bedroom attachment lol!!