Works very well. I have a couple of denim strops, both with aluminum oxide crayon-style compounds; one is white rouge (rated 2-5 microns), the other is a slightly coarser 'regular cleaning' grey compound for hard metals, from Sears in the Craftsman branding. The crayon-type compounds apply much more easily to a denim strop, and the denim will take and hold a lot of it, in a dense coverage. Makes for extremely fast removal of heavy burrs and polishes very quickly as well, on steels suited to these compounds.
I made both strops from some old jeans and (for one) a long paint-stirring stick and (for the 2nd one) a piece of 1/4" x 1-1/2" poplar from Home Depot. Spent next to nothing for the raw materials, with the compound itself accounting for most of the expense. I used either a spray adhesive (DAP Weldwood, 3M 77, etc) or contact cement to affix the denim tightly to the sticks.