Hi Edgar, If it was me I would drill the pocket holes before doing any sanding and varnishing. The reason is that you can get the pocket holes and the rest of the area ready for finish. If you sand and finish the surface and then drill the pocket holes it causes you to have to sand down any wood fibers and or imperfections made when you drill the pocket holes. When sanding anything that is finished it is sometimes hard to cover any sanded area in the finish and make it appear the same.
I agree with Jay's comments; I'm much more of a newbie, but I've done it both ways and I think it goes more smoothly if you drill first. Depending on the finish you're using, you could have some finish making its way into your pocket holes, but unless you're plugging them that doesn't really matter. In the projects I've made with the Kreg jig, the holes have been hidden, so many of the surfaces with the holes aren't finished anyway, and for those that are the bit of stain or finish that makes its way into the hole doesn't cause any problem.
I prefer to drill the holes, dry fit, then assemble the piece prior to sanding. The only time I do sanding prior to assembly is if I know for sure I can't reach it after I put it together.
Once it's together, you can sand and double check for any goof ups, raised edges, etc that you can sand down before you apply a finish. I tried to finish something one time and it really looked bad when I finally got it together. Lots of scratches, dings and dents.