Using water helps in many ways.
1) Keeps the airborne dust down.
2) Keeps the sand paper from clogging up and becoming less effective
3) Keeps the small particles from redopositing and embedding back into the metal.
When I polish machined wheels, I start with 120grit. Lightly sand until the machine marks are gone are nearly gone.
Then I work up from there:
180
400
800
1000
1200
1500
Each successive grip is essentially removing the lines from the previous grit.
The hard part is removing the initial machine marks. The 120 will usually make pretty short work of this once ou bust through pait/clear coat (if present). The other grit up to and including 400 should move fairly quickly. The real patience comes with the 800 and up. And this point you are at a good shine and trying to remove haze and cloudiness.
You will spend most of your time at 800 and up removing fine scratches. Since these grits remove very little material, be prepared to spend some time. On these grits it is especially important to flush the paper often and wipe down the wheel thouroghly with a clean/well rinsed damp sponge if you are not able to provide a continuous flow of water. These grits will redeposit metal very easily. It will look like little bumps on your rim.
Once you get everything down to a 1500 grit finish, buff buff buff buff and buff again. If you don't have posihing wheels, a terry cloth towel works very well. Once down to 1500, Mothers will work well for you. Jewler's rouge and a polishing wheel works best, but mothers and terry cloth will provide pretty amazing results.
Also, when doing this, it is VERY important to always sand in the same direction. If you sand one way then go 90 degrees from it, you are really going to delay the process and never get good results.
Depending on what kind of rim you are working on and what equipment you have to work with, if you have a way to spin the wheel, it will go MUCH faster.
I have been known to put a car on a lift, (I have a hydroulic lift in my garage) start it and put it in gear and let the engine do the work. But I don't recommend this unless you have a very stable setup. A floor jack is not stable. You could easily kill yourself or someone, physically mame yourself, destroy your car and other property.