I started with the Wood River set. Worked well for pens, but I wanted something I could also use for bowls and other turnings and I fond it too small.
I changed to 2" shop rolls from Klingspor. The 2" size is not too big for pens and is also a good size for bowls and other turnings. Very good quality. I sand up to 600 and then I go to micromesh. I have rolls for: 80, 120, 180, 220, 320, 400, and 600 though pens normally only see 320, 400, and 600 (Plus Micromesh).
I am now trying Abranet. While it works well for pens, I don't see it being much better than the Klingspor rolls in that application. Probably because the pens do not need much sanding. I find it really shines for bowls. It does not clog and a good smack against the tool rest clears what dust does collect on it. This allows for less heat buildup. It also lasts longer than regular paper.