Hi Oscar, good question and I'll offer advice in the best way I can:
There are forums (Fora?) specifically related to to your query. TDPRI and Re-ranch (Stewmac) are full of superb info and great threads from guys who build and finish their own guitars.
Now, assuming a solid body electric, and you said "build" not "make", so assume internet or shop-bought body and neck?
Okay assuming the above, if body is ash - prob american ash - then Adam's post above is spot on as you may have to grain-fill depending on the finish you want, as american ash is wide-grained and will need smoothing unless you want a very rough and grained finish (some do).
As to your original question if the neck is american or some other smooth maple, then no, you do not need to apply sanding sealer. If machined smooth enough then sanding through 180, 240, 320, and then 400 / 600 grits should give you a silky smooth guitar neck.
Your options are then to either spray with nitro-cellulose or other clear lacquer, or, preferably in my book, to apply Tru-oil which is a commercially available modified linseed oil mix deisigned for gunstocks but is brilliant for guitar necks. If your neck is very plain looking wood then just apply enough finish to make it smooth to the hand when playing the guitar. If it is tiger striped or birdseye maple with loads of figure then spend more time - with the tru-oil - as mentioned above - for best results.
But as said please visit the guitar building and finishing forums there is loads on there and I learnt an enormous amount before actually doing my own.
Hope this helps and good luck. Be sure to post your pics for us. Cheers.
Andrew