You are probably sharpening away from the edge, which is more likely to create a large burr. You can solve this in several ways. Use a fine stone a couple of times on each side, sharpening towards the edge. Using a rougher stone will give a toothier edge (which some prefer). You can also use a buffing wheel (with polishing compound — green rouge is usually best for steel, but most of them will work) to "roll" the edge. To to this, buff the edge (holding the blade such that the wheel is buffing away from the edge) at the same angle as you would sharpen it. This is the technique that many custom makers use and is the fastest way to get a shaving-sharp edge. You may also use a manual strop, which is just a long piece of leather (2' x 2" or so) with buffing compound on it. Use the same motion here as the buffing wheel would but spend more time on it. This is believed to be the way to get the finest edge possible, but it takes a lot more time and practice and gets diminishing returns.
- Chris