After getting the surface cleaned to how you want I have tried loads of things. Boeshield is good but at the moment I quite like renaissance wax. I have been using it on a few machines for a couple of years now and it works.
For the polishing I will start at the best grit to clean, be it 60 grit then just treat the piece like you would a piece of wood. For good results you have to be really anal when going up a grit. I would normally start at 120, 240, 400, 600, 800 and 1000 before going onto a polishing mop. I like a 8" close stitched mop. I use a high speed on the lathe. For polishing compound I wouldn't bother with those kits of different colours. I have tried loads and the one I like the best is silverline red compound. I accidently got the brown one and its not as good. If I'm feeling really obsessive I will go up to 4000 grit before polishing.
I forgot to mention if your polishing non ferrous metals its a lot easier and its not necessary to go to the silly grits to get a good result, you could go to 240 and then polish brass and get really good results