I use a combination of the methods described. Like stickwhistler and Shanks4300, I like a quick rub with an eraser after (almost) every use. It keeps them clean and allows you to go a good while between more thorough cleanings. I like the "latex free" erasers you can find at the big box office supply stores---they seem to clean a little better and throw off a little less residue---but plain ole block erasers work well, too. For the periodic thorough cleaning, it's Bar Keepers Friend on a scouring pad.
For the diamond or CBN rods, soapy water on an old toothbrush works fine.
Andrew