First:
The belt sander will put a CONVEX grind on your knife.
The paper + grit wheels will put a V grind on your knife.
Safety:
You NEED a respirator. If you smell it, you're breathing it. A sharp knife is not worth cancer!
You NEED eye protection! A sharp knife is not worth going blind!
You NEED relatively flame resistant clothing. Some synthetics will burn right up. Wear a cotton shirt, jeans, and SHOES! Preferably an apron too.
I would get accustomed to sharpening by some other method before attempting machines. The Harbor Freight belt sander is EXTREMLY fast, it can mess up both the temper AND the grind in a heartbeat. But with some practice, its use becomes second nature.
I just buy 80 grit belts from HF
I buy 320 and 600 from pops knife supply, as well as buffing compound (stropping compound)
I buy micron grits and leather belt from LeeValley
Ive hear good things about Supergrit, EconAbrasives, Jantz.
On thick knives (3/18 and above) heat is rarely an issue, but its harder to keep a perfectly consistent grind. On thinner knives, heat is a big issue, dunk in cold water every pass.
Make sure you pull the knife towards a SLIGHT bit when sharpening the tip/belly. You need to do this too keep a consistent angle, Jerry Hossom has a great explanation on another "knife" forum.
The whole setup will cost about 70 bucks give or take.
Use the 80 grit for the rough reprofile. Grind about three or four passes per side until you get a nice burr.
Then switch to the 320, and do the same thing until you see that the 320 grit scratch marks have replaced the 80 grit scratch marks. The burr should also be much smaller now.
Now do the same thing with the 600 grit belt.
Those three belts (80,320,600) are the three belts where you really need to watch for heat buildup.
The 15 micron belt is a funny belt. It doesn't have x weight backing so BE CAREFUL! Stop the tip at the middle of the belt or earlier, or risk losing that point! Use this belt to polish both sides until the burr is gone or teeny tiny. Heat build up isn't a whole lot, but pay attention.
Put the final strop with the leather belt loaded with green or white compound. You now should have a very sharp, tough convex edge. Heat is really no problem.
Overheating a blade:
If the blade changes color, you now have a really cool looking butter knife.
If its too hot to touch, it too hot to cut. Dont let it get too hot to touch.
DONT USE GLOVES!! (I know ppl will shit on me for this, but oh well) You can't feel the blade with gloves on.
The most common mistake besides overheating a blade is accidentally grinding the tip off. This happens when you slide the tip of the belt, causing the belt to twist and grind off you tip. Xweight belts help stop some twist, but its still happens. At the farthest, stop in the middle of the belt, then lift the blade off the belt without pushing into the belt at all.
For touch ups, the micron belt and leather belt with suffice 99% of the time. Remember, to keep more metal on your knife, strop often and sharpen rarely.
A belt sander is a great tool. It makes sharpening large knives a breeze!
I have no experience with paper wheels, but you use them to put on a V grind instead of a convex grind the belt sander puts on your knife.
Good luck!!!

:thumbup:
edit:
Paper wheels are probably much harder. The require you to keep an absolutely perfect angle, grind speed, ect. The slack on the belt of a belt sander will make up for small angular imperfections you have. It will "convex itself." RichardJ, the king of paper wheels, recommends you practice on old hacksaw blades, including going around the ends to simulate the belly of a knife.