What brand of lacquer did you use?  I've had similar problems with Deft lacquer in the past.  Last time I used it it took a couple of weeks for the finish to harden.

My "new" thing is to use Ack's sanding paste.  I use it with no other finish quite often but when I apply lacquer or poly, I polish the finish with the paste and it really fixes any problems with the finish.  I've tried wet sanding but this is so much better in my experience.  I will usually top it with their finishing wax too but with lacquer or poly that is not usually necessary.  

--Nathan, TX. Hire the lazy man. He may not do as much work but that's because he will find a better way.