You could probably solve it by grounding the chassis of your grinder. A build up of dust on your grinder could also cause a static charge to build up if its not grounded, so you might consider blowing it down. Also, if your grinder's motor isn't sealed it can get metal dust inside and cause a small short.
Before grounding your chassis, however, you should examine the wiring to ensure you don't have a short. If there is a short and the chassis is hot, you could have a dangerous situation on your hands. The fact that you get shocked when using finer grit belts might only be a coincidence.
You can test it by putting one lead from a multimeter on the chassis and the other to the ouputs at the switch, making sure to measure across both the positive and negative leads. You should also measure from the chassis to a known ground. I often use the third hole in a wall socket, as it is a known ground. It must read zero in each case. If not, you need to investigate your wiring, or the motor itself.
Start with the simplest things and work backwards from the power supply, which in this case with the power cord, then the switch, then the motor and/or chassis.