Polish the edges, the bevels if it has them first with a given grit. Then do the main flat areas with that grit. If you have a hard backing and the paper, I use only wet or dry paper, is double stick taped to the backer it will help keep sharp edges. Keep going finer until you reach the level of polish you want. On a lock I would go to 400 grit.
The proper finish is then casehardening. Don't want color then remove it by polishing or chemically removing the color.
Dan