You can progress like you normaly would on hardened blade steel, it will just go faster. The most important step is to get all your grinding marks out at the 400-grit stage, making sure your surfaces are smooth and clean. Then step through your grits like 400, 600, 800, 1000 with 3M wet/dry "automotive" sandpaper. Use it wet and don't be cheap, switch to fresh paper when it starts to clog up. Switch sanding directions between grits so you can see when you get the previous scratches out.
If you can, get some Norton Black Ice in 1500 and 2000 grit next. It seems expensive but it works quickly and gives a really nice finish. 2000 will give you darn close to a mirror, certainly ready for a quick buff. Fred Rowe showed a neat trick where he used small scraps of old soft denim stacked up on a mandrel in a dremel tool for buffing in tight corners and such.
Thank you very much that is a great amount of info I didn't know.
Do you know any local stores which carry sandpaper over 220 grit? I haven't found any yet. I found that Ace carries up to 1500 grit but thats it. It pretty much skips, and what is the wet sandpaper?
I get the 3M stuff at Menard's. Maybe try NAPA or another place that caters to car repair/autobody work etc.
"Wet" just means keep the paper a little wet. You can use water, windex, or lightweight motor oil (synthetic Mobil 1 is my favorite). The idea of wet-sanding is to keep the paper from clogging up as quickly, and keep the swarf (little bits of steel you're removing) from grinding into the workpiece as you sand.
Put the water, oil, windex, WD-40, etc. straight on the blade and then start sanding. If your paper is on a flat surface with the grit pointing up you can then apply directly to the paper. Doesn't have to be a lot.