Dana, I don't know what brand of wet or dry you are using, but I switched from gator grit I was getting from the hardware store to automotive grade 3M paper. I get it at an auto parts store. I noticed an immediate improvement! I now go to 800 grit on most of my knives. I think I spend more on sandpaper and WD-40 than any other part of the knife! Well, almost.
Dana I have to go along with Bill. I use primarily 3M imperial paper for the higher grits and WD-40. I get the 3M imperial at a body shop supply store, some auto supply stores also carry it. I usually stop at 600 or 800 for a regular finish, and go to 1200 for a blade which will have a hamon. A strictly using knife will get a 400 finish. On guards I go to 1500 grit then go to a white scotchbrite pad. This is the equivalent of like 2000 grit and can be found at autobody supply stores. I love that stuff and use it on handles also.
Brion
Brion Tomberlin
Anvil Top Custom Knives
ABS Mastersmith