I've gotten some good belts on ****. I use 40 grit for pretty much everything. Like Eric said, you can vary the pressure.
You don't need one of those rubber things to clean your belts. An old shoe with a rubber sole will do the same thing and not cost you anything.
When I got my belt sander from Harbor Freight, the rollers were slightly higher than the flat part, which created a dish, which made it impossible to sand anything flat. I fixed that by using Barge cement to glue on a piece of that hard cork/cardboard like stuff they make clipboards out of.