For the moment, I use a Lansky Deluxe Diamond set. It has 4 hones, XCoarse, Coarse, Medium and Fine. For establishing my initial degree of sharpening, I usually use the coarse. Then I move to the medium, then to the fine. Now, after working the fine for a bit, I will jump back to the medium for a couple passes to work the burr down even more, then back to fine to finish out. Then, I strop on a strip of leather rubbed with green compound. It's nothing fancy, which is something I hope to remedy soon. I'd like to get a Blue Sapphire hone to add to my set and build a set of different strops.
From my reading, the diamond set is the way to go. It doesn't require much effort at all to get a very nice edge.
I am also considering buying a Work Sharp knife sharpener...they have recieved GREAT (consistent) reviews and put on a very, very nice convex edge.