No, you use each product as part of its own step. Chris Anthony offered some good advice, this is the order:
Wet sand, then rubbing compound, then polishing compound (Finess or Perfect-It as recommended by Chris works well), then (finally) wax. The idea is that with each step, you're going to progressively less abrasive cleaners - each step takes out smaller & finer scratches & imperfections. It'll take some work, but it'll be worth it.
Or you could find a good detailer to do all of that for you.