BigO,
Once you start polishing/compounding you don't want to stop until the whole car is completely done. What I mean by this is, still do small 2x2 areas, removing any excess as you go, but don't stop in the middle of it to switch to another product. You don't want to let the product dry in the pad, and then pick back up later, this could be bad.
As the others have said, also use a different pad for each product and keep your pads cleaned/spurred (I use a pad cleaning brush) as to avoid caking of the pad, which can lead to marring and swirls. I find this most noticeable when using the 3M compound, and not as much with the glaze.
Also, for the pad's sake, as you fnish with each pad, throw it directly into a bucket of hot water/soap to start soaking. This will help when it comes time to clean them out later.