Jerry.... Some people like the polishing stones because they can be a little more aggressive with getting the casting surface off of a lock. I've found them to be most beneficial when polishing a steel (frizzen), that hasn't been annealed. Files just don't work well on a hardened frizzen, and sand paper can take quite a while. If you anneal the frizzen, that's a different story... Another advantage of stones is that you can keep edges of the lock sharp, that sometimes can get a little soft, even when using backed sandpaper, at least for me. During the course of polishing a lock, I typically find I'll use all three; files, stones, & sandpaper.
Ed