Wet sanding through 2000 grit, then finishing up with either Novus or a automotive polishing compound. When wet sanding, I put an old towel over the lathe bed to avoid too much water on them. Later I rub dry and put a coat of Ren wax on the ways - that is the best use for Ren wax.
Others, I have heard, are dry sanding at low speed, never worked for me, though.