I normally go 180,240,320 then MM 1500,1800,2400,3200,3400,4000,6000,8000,12000. Sometimes depending on the material I will start out rougher and if I want a more satin or brushed finish like on aluminum I will stop around MM 3400. I only wet sand on plastics. After about 20 pens I will try to wash them in a delicates bag in the washing machine and hang dry. I have 2 sets so I don't have to wait while one is in the wash. Daniel is right, use light pressure or it will heat up and melt. If this happens I stop the lathe and rub off the residue that is left on the pen with a damp cloth. I do not sand along the length of the blank. I can not notice a difference.
Anyway that is my SOP