I would sand the walls first to minimise any trowel marks before doing any filling.
If you dont have a decent random, or orbital sander that connects to a dust extractor then at a minimum, consider buying a hand sander that will connect to a vacuum cleaner, eg
Dust-free sanding with Mirka hand sanding tool Handy and Abranet.
www.mirka.com
As a decorator, I use the Toupret fillers. TX110 if I want it to set quickly, the standard if you want to save a couple of quid.
The dust from all powder based fillers stick to everything, hence my recommendation to use a vacuum. If you use a domestic vacuum cleaner, tap the bag every 5 mins or so. The dust will block the holes in the cloth bag and may overheat the motor.