Caleb,
Lots of good advice here but I haven't heard anyone mention that the most important stage of sharpening anything is step 1. You need to get your blade very very sharp with the coarsest grit you have. If not, all the finer grits can do is to polish the bevels of the dull edge. Finer grits will make your bevels nice and shiney but unless the blade was sharp before going to them, finer grits can't make the blade any sharper. Translation: your coarsest grit is your best friend.
What type BHDs are you sharpening? If they are any of the laminated tip glue-on type heads (Zwicky, Magnus, STOS etc.) then 200 grit is way too fine for a first step. I use 80 or 100 grit to quickly set the bevels and raise a burr. After this initial step, it's all over but the shouting. Remember, you're attempting to change the shape of a piece of hardened steel. Maybe only by a few thousandths but changing the shape none the less. Don't ask a fine grit stone or sandpaper to do this. Set the bevels, create a true intersection of the bevels, and raise a burr with the coarsest thing you have... THEN polish and refine the cutting edge with as many finer grits as you like. Give me a call if you need some help. I'm much better at yackin' than typin'. Thanks!
Ron