Sand to as fine as a finish as you can get. I go to 8000 if it is a special knife. Then a quick buff (on a clean wheel that is not used for metal) with no scratch pink or white rouge. Don't buff the metal areas (tape them off) while buffing the handle, as this will turn the wheel black and may stain the handle. You can just hand sand to as fine as you want and rub in a oil finish as NDallyn said. You can also buff by hand with a soft cloth and a little bit of carnauba wax. When buffing knife handles, ALWAYS tape off the blade. Cuts make for blood which stains the handle (and everything else.....like the carpet, clothes, towels,etc.....), also there is a lot less risk of scratching the blade when taped up.
Stacy