I too dry sand, excepting the clear coat color sanding before buffing,,
In my days,, ( one or two
) in the body shop, sanding on primer, I found that dry sanding was actually harder on my hands than wet sanding,, mostly because I ALWAYS wear nitrile gloves when wet sanding,, now that I have gotten into the habit of wearing them dry sanding I have many less problems with my hands being trashed.
I am not sure whether its the dry powder evacuating the oils from your skin, or if its the constant abrasion of the grit on the paper that does it, but dry sanding can be VERY painful,,
Sparky, try wearing some good nitrile gloves next time you sand, if they fit tight it should actually help your feel while you are sanding..