Sandpaper on a mouse pad, seriously. I have a Lansky kit, and a tri-hone, and the sandpaper is by far the better of the three systems. I like convex edges, so the sandpaper on a mouse pad works perfectly. I'm not actually using a mouse pad; I'm using that non-slip rubber stuff that you line kitchen cabinets with.
I get all my sandpaper from Harbor Freight because they're the only place local that has high grit, wet/dry sandpaper.
I use a 250 grit for the initial convexing of the edge, then procede to 500, and to 1000, 1500, and 2500. Then strop it on the phone book (clay coated paper).
I use dawn/water in a spray bottle as lube.
I can get my blades uniformly sharp enough to shave with, which isn't really that sharp; but it is a good working edge. I'm still working on technique, which seems to differ between steels, blade shapes, and sizes.