Lugnutz,
I'm not a body man, but I've always heard you should epoxy prime before you use body filler. The body filler is porous and could wick moisture, so get the metal close with the dolly, them epoxy prime, then fill, then epoxy prime again to seal everything up, then use a primer sealer and then put the top coat on.
Mike B

Well, I am a bodyman (35+ years!) and I don't subscribe to the Epoxy under filler method. There's lots of argument on all these forums, but if you look at a fillers can, or it's MSDS sheets, they all say to apply filler on clean ground BARE metal. It was designed to adhere to metal and no moisture will be under it if you grind, wipe with wax and grease remover and apply it - as per the instructions.
Picklex is a favourite with Len over at autobodystore.com. and while I respect him and his methods, I have never tried it. My prefered method is a phosphoric acid wash (I use "Prep and Ready" from POR). It arrests rust, etches new metal and leaves a Zinc Coating. THe Zinc even makes wleding better!
As far as what you are doing, you're doing it right. Just make sure to get a good Wax and Grease remover (PRE from Eastwood is good, or from your local AB store)and use it before you apply anything to anything. Your fingers have grease and acids, the picklex will leave a residue after washing it off, etc. It's a step that gets missed, but is extremely important.
Good luck!