Describing how to sharpen with a belt sander is like describing how to drive an automobile: I can tell you but much of what I say won't make a lot of sense until you're actually doing it, and the easiest way to learn is to simply get started.
With the sander running, hold your knife with the edge facing in the direction of the belt's travel, then tilt the spine slightly until you have your desired angle between the edge and the belt -- basically, just like you'd sharpen on a stone, except with the edge trailing. Press the blade against the belt at its base and draw the entire length of the edge across it, being careful not to burn the tip. Repeat until you have a burr, then do the other side. Once that's done make one very light pass on the first side to knock the burr off and switch to a finer belt. Repeat until you're happy or you've gone all the way to the leather belt, then finish by hand if desired.
That's essentially it. There are some other things to consider, however:
Keep the metal moving. Even very fine belts will heat up your knife extremely quickly, particularly near the tip where there's less mass to disappate it. If you hold it in one spot for more than a few seconds you could very likely burn it. Along the same lines, keep a bucket of water handy and quench the blade after each pass. I also keep my bare fingers on the flat of the blade while sharpening, not only to steady it but also to feel the temperature of the steel. My fingers will burn long before the steel does.
Maintain a consistant angle. If you can't maintain a somewhat consistant angle you'll never get it sharp. This comes with practice. I personally think that it's easier to do this on a sander than on a hone but I have more experience with the sander.
Consider whether you want a convex edge or not. If you do, think about removing the platen to gain some more slack in the belt. You can play with the degree of slack by selecting which area of the belt to use. At the top and bottom where the pulleys are there will be less slack; in the middle, more. If you don't want to convex it I recommend leaving the platen in place.
Lee Valley has a good selection of belts. I keep belts in 40, 20, 15 and 9 micron grits, with the 40 micron being used to repair damage, the 20 to set the bevels and the 15 and 9 micron belts for establishing the edge. I also use a leather belt charged with LV's green compound for power stropping. Anything higher than 40 micron is probably unnecessary for general sharpening. A worn belt will tend to leave a smoother finish than a new one so don't immediately throw them out when they begin to lose their aggressiveness -- they still have their uses.
Finally, be safe. The belt sander is probably the second most dangerous tool that you'll ever own, with a buffer being the first. There are many things that can go wrong. Try to stand out of line with the grinder so that if it catches and throws the knife, it doesn't throw it at you. Keep your fingers away from the belt, particularly the edge of it. Gloves are up to you but I don't recommend them, as they hamper your ability to hold the blade, feel its temperature, and are also (IMO) likelier to be caught by the sander than bare skin. Wear eye protection and consider a dust mask, as this process throws a lot of abrasive and metal debris around that can't be good to breathe.
You may very well wreck the first knife or two that you sharpen this way so consider getting a few junkers to work on first, and go slowly -- it's a lot easier to take a bit more off than to put it back on again.
Once you get the hang of it you'll be going from dead dull to scary sharp in a matter of minutes, but resist the urge to go to the sander unless you absolutely must. A session on the belts necessarily removes a lot of metal and you don't want to be doing this all the time. It's still worth knowing how to sharpen by hand to extend the times between sessions on the sander.
