Well, I'm trying to answer this without writing a big dissertation or making it seem like I'm speaking from massive amounts of personal experience... I'm mostly repeating what I've read here.
At this point though, I think that you need to consider these points:
1. What level of refinement do I want?
2. How much maintenance do I want to perform?
3. What kind of steels do I want to sharpen in the future?
4. How much do I want to spend?
So here's the run down... For about $60, you could get a Norton 1000/4000 combination water-stone. 4000 JIS is 3 micron, which is what DMT's Extra Extra Fine hone stops at. Water-stones will also do fine on most steels, but a lot of the newer, harder steels (CPM steels, D2, ZDP-189) won't do as well on them as on diamonds. On top of that, water-stones require a lot of flattening, and are not going to last nearly as long as a diamond plate. If you look at the grit as expressed in microns, then the progression from DMT XC, C to a Norton 1000/4000 waterstone is 60-45-14-3.
The DMT Extra Extra Fine stops at 3 micron. If you got the DMT XC, C, F, EF and EEF then the grit progression expressed in microns would be 60-45-25-9-3. On the other hand, you'll need about $150 to get the F, EF and EEF. The major benefit with the diamonds though is that they don't require flattening, they're going to last pretty much forever, and they will cut any steel like butter. If you consider this, then if all you bought was the DMT XC, C, EF and EEF then the 60-45-9-3 progression would not be that far away from the progression you'd have with the Norton 1000/4000, and since it is diamond it will probably cut quickly enough that you will reach the same level of refinement even when skipping a grit.
The other things to consider though is that you can reach even higher levels of refinement on water-stones in higher grits, and then there's also stropping compounds. In the end, you could get both a 1000/4000 and a 8000 grit stone for about the same cost as all the DMT stones; even if you didn't get another stone and just stropping compound, you will reach higher levels of refinement.
So to me the water-stones seem mostly like an option because they will be cheaper, and they will do a good job. The DMTs are just as capable of the same level of refinement, but for a bit of a higher cost; on the other hand, they're not going to wear as fast as waterstones, they don't require flattening, and they're going to breeze through just about any steel.
I went with water-stones when I started out so maybe it's just a "grass is greener from the other side" type of things, but I would go with diamonds if I made the choice again. Just not having to flatten alone makes them fantastic, add into that the fact that they're going to last forever I already curse myself for buying a water-stone instead. At the end of the day the only thing that's really a major concern is the price, and you can always skip grits and fill them in later as needed to resolve that.
Whatever you choice is, it should be one or the other. I wouldn't subtitute a 1000 grit water stone for the DMT EF or vise versa. As unit pointed out, mixing abrasive media isn't the best idea. Aside from the form factor of the stone, there's also a lot of difference in the way the abrasives cut, the feedback the user gets, and then of course how easy it is to gouge some water-stones. I would only get a 1000 grit stone if you plan on sticking to water-stones throughout the rest of the process.
So I would get the Extra Fine. Skipping the fine grit after profiling on the coarse grit may leave it a little less refined than if you had the Fine grit in between, but with light pressure on the coarse stone at the end, it will only be a matter of spending a little more time on the Extra Fine. At that point you should be able to decide if you need/want extra refinement, or if you need the extra grit in the middle of the progression. If you need extra refinement, then you can look at maybe a polishing water-stone or stropping compounds.
I think that spending the extra money on diamonds is the better way to go, but if the cost savings seems like enough justification to go with the water-stones I think that you'll still get very good results going that route, but I think that flattening is a little bit of a nuisance.
