More often than not, most apply the sandpaper to heavier grinding jobs like re-profiling on the Sharpmaker, using much coarser grits, and then finish the finer steps on the ceramic rods themselves. If the grit is relatively high (2000+), the sandpaper might help in polishing, but would otherwise be doing essentially what the Fine/UF ceramic rods would likely do anyway. Sandpaper grits at 1000 and below will likely leave a somewhat less-polished finish than the white Fine/UF ceramic rods will. The Medium (grey/brown) rods on the Sharpmaker are comparable to ~1200 grit wet/dry sandpaper, in terms of the finish they leave (almost polished, but somewhat hazy).
Off the top of my head, I don't know to what finish the Lansky rods will take an edge. But there's certainly no harm in experimenting with the sandpaper, and compare results between the two. Steel type will make a big difference; something like 1095 will take a high shine much more easily than others, with minimal effort. Other steels with high wear-resistance will polish more slowly (some MUCH more slowly, like S30V).
David