I'm not sure steel wool will help much, for polishing a steel knife blade. The steel in the wool is likely softer than the hardened blade. The #000 or #0000 stuff is often recommended for cleaning rust or other dirt/grime/etc from a blade, in large part because it's less likely to damage or scratch a steel blade. And if it can't scratch the blade, I don't think it'll polish much either (without help, like polishing compound at least). If you do still want to give steel wool a try, I'd start with the fine stuff (#0000).
Personally, I'd try some polishing compound first, if the blade is relatively scratch-free. If the blade was stripped by abrasive means, and has scratches on it, I'd use wet/dry sandpaper first, up through 2000 grit or higher. Finish after that with polishing compound.