Dave-
I sand to 400 with regular good quality sand paper. And the last sanding with 400, I go with the grain to minimize the scratchers. I cut my wet/dry paper into strips of 2 x 4 inches and fold over. After cutting the pieces into strips, I ues a Marks-A-Lot and label each grit and stack them in order that I wll use them. Dipping the paper into a dish that has the oil in it to sand with. Use fresh paper for each sanding. Again let the pieces dry before disposing of them.
What Mike has said hold true, after sanding blow off your piece with compressed air.
To add further to my answer, I put on a very heavy coat of Danish Oil first, let it sit and for about 10 minutes the wipe off the excess. Over the next 24 hours I wipe the piece down because it will eject the excess oil finish. After a couple of days, I again apply a heavy coat of Danish then begin to wet sand, wiping the piece between coats with a paper towel. Make sure that when you are finished, place the rags, paper towels out to dry completely before desposing of them. Depending on what yopu have in mind for your piece and the finish, after the wet sanding is done. You can wipe the piece down with mineral spirits to remove any build-up of the slurry, set aside to dry. Again watch the piece for it will again eject the oil that was used during the wet sanding. After a day or so it will stop the ejection of the oil and depending on the finish that you what to apply, let it dry for a week or so.
If you plan on using a hard finish such as wipe-on-poly, you can use mineral spirits also to wet sand with. Make sure that there is no flame of any kind present when doing this.
Gary:cool2: