I generally sand to 600 with my belt sander, then use an 80 ply sewn Muslin Buff with Matchless White rouge on it. Gives a great shine really quickly! I've taken handles up to a 12000 Micro Mesh finish and didn't see much difference between that and when it's buffed. With the leather pad and compounds, you have to be careful and watch out for the pins or tang/bolster standing proud if they are western handles since the compounds can remove material and the metal and wood sand at different rates. You can get adapters to use buffing wheels in a drill press or lathe; I use my lathe at a slow speed.
You can also use a strip of leather and the polishing rouges to get the same effect as the slurries for a bit less cost. I used to put white rouge on a leather belt and polish the handles that way when I first started. The rouges usually have some sort of wax in them, which helps protect the handles as well.
600 grit belt and then buffed as above:
12K Micro Mesh finish:
The Micro Mesh finish will often leave the pins standing proud and is much harder and more time consuming for not much extra benefit.