I convex my edges on my waterstone.
I start out grinding in a normal V grind. I wait until the edges are mostly covered. At this point I would normally add in a microbevel to finish out the edge and get a burr, but instead I start making edge-leading strokes while lowering the back of the knife, I then pull backward while raising the back edge just up until the angle you would have ground your microbevel at. There's lots of room for error in this, but you want to bring it back as close as possible to the highest angle and not any further, otherwise you roll over your edge and have to start over. It may be easier to grind in a full V grind + microbevel and then convex off the shoulders because of this.
Then turn it around and the other otherside like that as well, and keep the process up until you have the desired radius, then slowly grind off the burr with the stone as best you can, maybe finishing that up with a buffer or something.
Just thought I'd share it since a lot of people go the mouse-pad and sandpaper route.