Let your paint REALLY dry and gas out. As Scale_Master said, if you are using enamels - that's forever
From your post, it sounds a little to me that you are particularly rubbing through the paint on raised, detail areas of the body? These and sharp edges are the most "dangerous" areas when polishing because the paint will be very thin here. Be particularly careful here and mnay people put masking tape over them while polishing in order to avoid accidentally rubbing through.
As gionc says, rubbing compound is a finishing step and will not remove orange peel or deep scratches or dust - for this you need fine grit wet/dry sandpaper.
From the sound of it, your problem is not cured paint, too thin paint, asking compound to do teh wrong job or not beoing carefull enough of raised and sharp edges.
To make you feel better, I have only NOT rubbed through on on car so far
