I do like using stones for polishing work- I have not yet found a method using sandpaper that can keep small surfaces perfectly flat like stones can.
I've been using EDM stones from Congress Tools for a while now, and really like them. I either use Simple Green to keep them from clogging up, or actually work under a trickle of running water if the piece is small enough to do in the sink. These stones are hard enough to keep their shape pretty well, so ya don't have to worry about them getting dished halfway through a blade. They will gouge if ya try smoothing a sharp corner with 'em though. They can be dressed with a diamond plate now and then if needed.
Like others have mentioned, they don't leave a nice enough finish as-is, so you can do the final passes with paper or whatever to blend everything. I've had bad luck with paper though, so I do my final finishing with some different stones. I have a couple ceramic water stones that leave a very pleasing polish, though I can't remember now if they are Bester Stones or some other brand...