Did I sand through the clear coat?

Ok so after applying the clear coat on my new build there was a lot of orange peel. I decided that I would sand it down flat, and moved from 400 through 2000 grit wet. During this process I noticed that some of the color was ending up on the sand paper. Does this mean that I sanded through the clear coat and am now sanding the color coat? If so, what should I do?

I was thinking I could just spray another coat of clear over it and start over, but there are currently a bunch of fine little scratches in the finish and I don't want to preserve those...

Thanks in advance...

Yep, sounds like you sanded through.

What is your clear coat? If it's lacquer, stop where you are and respray, the sand scratches won't show through the new clear. If the clear is poly, scuff it lightly with 400 and respray. Once the clear has been wet sanded and polished, you won't see wher you sanded through, unless it's down to bare wood.