I haven't found a whole lot of speed after the 3000 grit. I've tried to 30,000 and even 60,000 without much speed difference. Now i'm going to 3,000 and then a metal polish as my final step. It makes things easier. On many of the axels available you have to start with sand paper to get rid of the macine marks, otherwise I don't use sand paper.
If you use sand paper, be sure to use same type of firm (but not steel) polishing block to get a unifrom surface. I don't use water with the paper. I use my final polish as the lubricant.
Good racing