As a person who spends about six hours a day with a flex-shaft in his hand, I can tell you that spending money on the things that count saves both time and money in the long run.
For burrs, get carbide when available, and a good quality brand in non-carbide. If taken care of, a carbide burr will last for many years. The HSS burrs will dull down with normal use, and be ruined in seconds on hardened steel.
I use:
ball burrs from 1mm to 12mm ( good for general removal )
cylinder burrs from 4mm to 12mm ( for cleaning up the ball burr gouges, and shaping profile curves)
tapered reamers and Krause burrs form .8 to 4mm ( for working slots and enlarging holes)
wheel burrs form 3mm to 10mm ( great for slotting and inletting)
Polishing wheels in felt and muslin for getting into small places for clean up and polish ( NOT for surface polishing)
While I have Cratex of many shapes and grits, I use medium and fine grit 1"X1/4" wheels most of the time.
A couple cheap sets of HF diamond burrs will come in handy often, as Greg pointed out. I use them to adjust holes in hardened metal, and for some shaping tasks. They are very useful for pre-shaping minis.
Sanding drums in 1/2X3/4" and fine grit are useful for some tasks, but they don't last long. A carbide 1/2X1" cylinder burr ( often called an inside ring burr) will last nearly forever. Get it in the fine cut.
Now, as to the need for and use of burrs and such in the flex shaft....
A flex shaft isn't made to be a stock removal tool for large amounts of steel. That is what a good set of files and/or a grinder are for. Ruining a $100 handpiece is not a cost effective way to profile a knife. Use the flex shaft for fine shaping, routing, sculpting, and the small tasks that it is good at.
The finish of a cratex wheel followed by a felt/muslin wheel will be smooth....but it won't be flat. It will show ripples like a fun house mirror. Don't try and smooth and polish a blade with one, or it will show badly. Again, use files and sandpaper to get a flat and smooth surface.
Use a tool for what it is made to do and it will help you......
Use a tool for what it isn't made to do and it fights you......
Force a tool to do what it doesn't want to do, and it will hurt you!