High speed steel takes a aluminum oxide or silicone carbide grits -- If you are using the high durability steels like A11 or M42 - probably will be a long day with sandpaper other than for honing. Power driven disks will get you there - Worksharp or similar, but I am finding it better for honing and not good for shaping high wear resistance steels.
AAW journal has had a series of articles on sharpening and edges over the past few years and the latest I read was this spring.
I have 120 grit on the worksharp and it hones a powerdered steel skew to a edge comperable to what I get with a diamond hone -- the skew is a 2060 powered steel.
If you like polished edges,Tormek looks to be the ticket but I cannot get past the price.
Now for high carbon steel -- love scary sharp Silicone Carbide on glass --