First off, so far I'm only working with wood and stabilized wood blanks so far, so take the rest of this with that in mind. I use the roll pack from Penn State - 1" wide rolls with a tear-off strip on the box, 150, 240, 320, 400 and 600 grits. At 320 I stop and slap on a coat or two of Aqua Coat water based grain filler, let that dry for a day, then continue on sanding. Then I grabbed a pack of sanding sponges (wet or dry, I just do dry on my wood blanks). I use the finest 5 grits in the pack: 1200, 1500, 2000, 2500 and 3000. From there I hit it quick with steel wool.
I have a 2" paint brush with pretty stiff bristles hanging next to the lathe that I use to clean off the paper strips and sponges. I'll keep using them as long as I can feel their abrasiveness and there's no residue caked up that the brush can't remove. Depending on the hardness and oiliness of the material being sanded, I may only get one or two uses out of the paper, or squeeze several uses out of them. The sponges have been holding out for quite some time now, with a quick brushing after each use cleaning them right out.