Also, don't forget your sandpaper grades make a huge difference in how things turn out.
Fine to very fine grits (400-600 grit) are easy to find in most hobby stores and are a must to produce a smooth finish after heavier sanding (100-120 grit usually). They're also terrific if you need to take just a little bit off a surface (say, a shoulder joint) without leaving much in the way of scratches. Another trick--which I picked up here on the board--is to the flip the sandpaper over and smooth with the backing. It produces a smooth, slightly shiny look on most plastics, works really well.

Testors and Mona Lisa both sell mixed-grit packs for hobby use, around $5 or so per pack. Mona Lisa also sells the very fine grit for about $3 at Michael's (this is a very thin, very fine white sanding paper that's tops for finishing.)
You can find the sanding sticks Pluv mentioned in various grits, and some come with grits right up to very fine (600). I have one I found in the dollar store I've almost worn out, it's so useful.
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