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Personally, I would do it all on the belt sander. I would use a pretty coarse grit (perhaps as larger as 80 grit if there was a lot of metal to remove) until I had the edge shaped the way I wanted it, including edge sharpness. Then go down through finer grits until I had the degree of polish I wanted.
Use the coarse grit to get the shape, and the fine grits to polish and hone the edge. It works with cleavers, axes, machetes, and even knives!