This stuff, mounted to glass, or a piece of Corian (flat, waterproof) is excellent, and much easier to use than just wet and dry paper.
http://www.axminster.co.uk/hermes-self-adhesive-abrasive-film-ax834464
I also use premium sandpaper, dry, by 3M or Norton, to remove big chips or dinks from edges. I think that after a period of carrying rubbish paper, Halfords is back to carrying some OK wet and dry, but I haven't tried it. A strop loaded with Autosol works well for final polish.
I have a selection of water stones, up to 6000 grit, no particular favoured brand, the first was a 1000 grit King, bought 16 years ago, and still in use. You need to sharpen a lot to wear these things down. The only annoyance is that as a by product of their fast cutting action, they wear/dish and cease to be flat, and so require dressing flat with some coarser flat stone/diamond plate/sandpaper on glass. They are also messy, producing "mud" as they wear. If you are just starting and don't have much to sharpen, that sticky film and a strop will get you going for minimal outlay and be easier to clean up after and require no dressing flat.