It is very easy to over-sand pine. This can result in high and low areas around the annual rings. You do want to remove the mill (planing) marks, if any, that will give a washboard appearance. Sanding beyond 120 or 150 is pretty much overkill.

For a primer, I like BIN by Zinsser. It is a shellac-based primer. Shellac is the only thing that will keep the resins in knots from bleeding through the paint and leaving dark rings.

For paint, avoid latex paint at all costs. You can use a high quality w/b acrylic, but a better choice, if you can find it is oil-based paint. It will be harder and will flow out better. Adding Floetrol (for water-borne) or Penetrol (for oil-based) additives will also greatly help flow out. I would apply a couple of coats of paint after the primer.

I disagree that oil is a better choice. The difference is so minimal and the latex is a whole lot easier and less messy, why would anyone want to use oil base these days? Anyway, that's my opinion. If Suzanne is not a veteran painter, which she obviously is not having the need to post the question, I don't think she's going to want to start out with oil base paint. A good way to sour her on ever painting again.

Oil based was recommended due to the propensity of pine to cause latex paint to bubble/peel due to sap/moisture in the wood.

When I paint pine, I go a step further than oil lased and use an alkyd paint-----which is MUCH more difficult to apply than regular oil based paint.

The advice to use Penetrol will make the oil based much more user friendly.

Thanks for all your comments! After some discussion my husband thinks we should just stain the loft bed. He thinks painting it is going to be a real pain! Is staining pine a lot easier than painting pine? I am in the sanding stage right now so I have a few days until a decision has to be made.
Thanks again!

Latex paint has one major problem : blocking.

Pine is prone to blotching, uneven absorption of stain due to local variations in density and grain orientation of the wood. This is particularly true of some of the consumer-grade stains, typically found in yellow cans. Some people recommend wood conditioners, I don't think they work all that well, especially so when used as directed (see link). A good gel stain might be a better choice.

Here is a link that might be useful: Wood conditioners