Since I like cooking I care about keeping my knives sharp. I am not a freaking expert though, so don't take this as a bible.
I use stones, mostly waterstones, but when I get a very dull knife or I want to change the existing geometry and I need to remove lots of metal I use a cheap aluminum oxide stone.
For maintaining a edge you can start with something like 800 ot 1000 grit waterstone and then polish the edge with a 4000 or 6000 grit one. Stropping the edge using a piece of leather and green chromium compound can help you, although according to "Experiments on Knife Sharpening" by prof John Verhoeven it is not necessary if you use the stones properly.
I believe Mr Appelt made a similar comment in a different thread.
Something that helps me a lot is using a tilted stone. It is way easier to be consistent at keeping the blade horizontal than to hold it at say 15 deg every time. This is particularly important if you are using small angles.
Look at this video:
http://www.youtube.com/watch?v=EP9tII6Tp7s&feature=related
My first "tilted plane sharpener" was improvised out of cardboard and I had to cover it with a plastic bag so the water did not destroy it. Then I made a better one using two boards and a hinge. I can lock it at 15, 20 and 25 degs. If you make one, I suggest you to add some kind of border to the top plane, so the stone is held in place in case friction is not enough. Do not make those borders too tall nor too wide, otherwise they interfere with the knife movements.
I don't know if you have read it already but a good source of information is this:
http://forums.egullet.org/index.php?/topic/26036-knife-maintenance-and-sharpening/
in spite of its not focusing too much on using waterstones.
Finally, it is a good idea to practice on cheap knives, just make sure they are not TOO cheap. When I decided to learn how to sharpen, I used a couple of brand-less Chinese knives that were in my apartment (rented furnished and equipped). Try as I might, I could not make them sharp. I was afraid I was doing something VERY wrong and thought that sharpening was really a black art reserved for the chosen ones. Then I tried with a still very cheap Henckels International and I got it shaving sharp in no time. Then I got my Forschner, resharpened with 15 deg bevels and a 20 deg microbevel and was hair popping.
Hope that helps