Having worked in a body shop I would leave it for the pros unless you are going to do it all. Sanding it won't save you that much money in the long run and most body shops don't like customers trying to do part of the work. If you do sand it and get a shop to paint it a couple things could happen:
The primer and paint could "pop" because the surface was not sanded good enough.
Any imperfections from you sanding could show through the paint and end up making it look worse.
And the majority of the time a new part for a car no matter if it is a bumper or a door or what have you does not actually need to be sanded. It just needs to be scuffed down to rough it up so the primer sticks to it. Then you need to wet sand the primer with 400 grit to smooth it down for the paint to lay on real nice.
You can paint it yourself if you know what you are doing, but like Heggy said any dust or grit that gets in will stand out real bad. Also if you do not wipe it down real good with a cleaner any armour-all or grease or wax that might be on it will cause the paint to fish-eye and that never looks good. If you are going to try this yourself I would make sure to clean and prep everything real good and if you are going to paint it in a garage mist water on the floor to keep the dust down. Once you are done wet sanding and buffing can remove any little imperfections that worked there way into the paint.