Phatch nailed the process of polishing pretty well, and only left out that the harder the material or steel your polishing the harder a project it is.
I have not polished anything beyond the edge of a knife, but have polished various different steels in the past and can tell you first hand it is a pain staking process that though somewhat satisfying can be a real pita, and also one of the dirtiest hobbies or projects I have done.
Now that said if you do want to try this I would suggest that you find yourself an inexpensive knife to practice on before moving onto anything of quality or value.
The reason is if you mess up or lose interest due to any one of many potential reasons you can just trash it and move on etc.
If you do decide to attempt this please post your experience etc