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Which grit to start with depends on how much grinding you're going to have to do. If the knife is only a little dull you'll only need a few strokes on the stone (or strop) you finish with, but if it's very dull or you want to change the angle that would take forever with a fine stone, so you start off with a coarser stone and then when you've shaped the edge with that, you go to your finishing hone and polish out the scratches that the coarser stone left. If you have bad nicks in the edge or want to make a radical change in the angle you want to use a very coarse stone that cuts fast. That stone will leave deep coarse scratches that would take a while to polish out if you went directly to your finishing hone, but using a middle-grade stone first will speed up the process.
What grit finishing stone to use depends on whether you want a coarse edge to saw at things with or a polished edge to cut things with. Even those of us who like a polished edge on some or all of our knives usually find there's a point of diminishing returns -- once you've polished an edge so far, further polishing gives you little improvement for your effort.
I like to finish with tripoli compound on leather glued to the back of my hone, and I like to touch up the edge every time it gets even a little bit dull, so I seldom use anything else. When I buy a new knife, though, it never has the angle I want on it. Then I start with a coarse silicon carbide stone, then go to a middle-grade silicon carbide stone, then my fine diamond hone, then strop. Diamond cuts faster but I use coarse and middle-grade stones so seldom I can't see going to the expense of diamond -- besides, you can bear down hard on a coarse silicon carbide stone and possibly cut even faster than you could with diamond; a sintered diamond stone could be damaged by very heavy pressure.
Go to the home page at this website and click on "features" to find the Sharpening FAQ -- there's a lot more info there.
I'll add that I've been leaving my edges coarser and coarser. As Cougar said, coarse edges slice better, polished edges shave and push-cut better. I find I make slicing cuts much more than push-cuts, so a coarse edge is really nice. I recommend everyone try this in their garage to really convince themselves that it's true. Sharpen a knife and polish it, then try to take a couple slices of very hard poly rope. Now take a few strokes on a coarse hone to rough up the edge, and re-try the test. The difference in performance should be very noticeable.
One trick I often do these days is polish the entire edge, then rough up the back part, from about the handle until the beginning of the belly. That way I have a polished tip & belly for push-cutting like opening mail, and the rest of the edge is coarse for slicing.
Oh yah, you asked for specific grits. For polishing, I'll typically go to a spyderco fine stone, then strop. Occasionally, I'll go to a DMT x-fine hone in between, for the super mirror polish. For a coarse utility edge, I leave the edge at the coarseness of the Spyderco brown (what do they call it? medium?) stones, or the DMT coarse (blue) stone.
[This message has been edited by Joe Talmadge (edited 29 September 1999).]
Just to add to the above a minor note, on how to finish the edge for optimum cutting performance, different steels vary widely in how they cut at different grits. Plain carbon steels for example can be maintained with a butchers steel (or a simple file) for a long period of time which leaves a nice coarse edge. This same treatment on some high alloy steels, especially on some of the stainless ones which initially producing a similar edge quickly leads to edge fractures and severe blunting. You need to vary your grits to best take into account the properties of the steel.