Thing you always have to keep in mind is wood moves. When talking plywood veneer, it is pretty stable (one of the reasons to use plywood), so any kind of filler will work to fill the grain and most likely last, but if you have a piece of hardwood, even just a piece of trim, it WILL change size over time, so much that an 8 foot piece of wood can move as much as a half inch depending on temperature and humidity. Some fillers won't be able to flex enough and will lead to cracks in the paint. Look for fillers that are made for filling grain, and avoid woods like Oak that have really prominent grain. Maple, Poplar, and some kinds of Birch all take paint really well without much need for filling the grain first.
Whatever filler you use, I recommend a larger sanding surface, like a large sanding block, otherwise you will more likely end up with high and low spots. If the wood has a fairly open grain and you don't seal it with some kind of sealing primer, the texture of the paint will be different between the filled spots and the raw wood. Once you think the surface is smooth, hit it with a coat of some kind of sealing primer, let it dry for 2-3 days, sand it again with 220 or 320, then prime and paint.