And you do. Sudo runs the command after it with root privileges, after prompting you for you password. The downside, is that if you ran a command from a shell after a 'sudo su' and in many instances a 'sudo xyz' where xyz was your command, xyz would use /root as the home directory where to store preferences, documents etc... Instead of /home/yourhomedirectory and inputting your password every run is tedious too.

I hope that clears up your understanding of how sudo works on Linux.