I found a place called Fiber Instrument Sales that has good prices on 3M diamond lapping film and other assorted silicon carbide and aluminum oxide lapping films. The price on these goes up quickly as you go up in size, so I stick to the 6"x6" sheets. A search will turn up many suppliers and most are very comparable on price.
For sandpaper I prefer my local ACE - they carry the Gator line which seems to work a little better than most. I do not believe you'll find sandpaper over 2500 grit and most only go to 2000 (which is plenty fine by ANSI standards).