Do you have to sand mounding that has been polyurethaned before paint?

Moulding? I would lightly sand first so the paint has something to hold on to. If you don't the paint will not adhere properly.

Yes. If you use Kilz, it will seal poly and you can paint over it.

There is a pretty great product made by Valspar that would probably work. It is a primer that will even work on glass and metal. I recently painted over varnished oak stairway spindles with no sanding. I think it was just called Valspar bonding primer

It's definitely a good idea to give it a light sanding before you start painting.

I did it without sanding. Primed first with Zinser 1 2 3 (I like this better than Kilz).