Ed,
I agree with Woody!
Since you might be making a purchase from toolpost shortly it might be worth you investing in a tub of EEE Cream as well. The old adage of ask ten wodturners a question and get twelve different answers will no doubt apply here so I am sure you will find you're own techniques and methods, but you will get little joy in trying to polish something as rough as a bears arse. I sand to 400 or 600 with the grain, spin the lathe and brush/burnish with a bit of cloth which gets rid of the dust and then polish a small amount of EEE with the grain, do not rub or polish with the lathe running. When you have polished that lot off and amazed yourself at the crap it has drawn out of the wood (as a cream it will also enrich the colouration of the wood), then put friction of top. Brilliant long lasting finish every time. This method requires a very small amount of EEE and you will amaze yourself at the miniscule amount of Shellawax that you need to get a brilliant finish, guarantee you will overdose on the first half a dozen pens you try it with!