Hello. I was in your shoes not too long ago. I still have knives that I have yet to try my skill on, but I have had the best luck with sandpaper, a mouse pad, and a leather strop. I've tried the Lansky and pretty much got what you did; ok results. One day, I was grinding down a knife on a belt sander to make it a full height flat grind, and I decided to grind a full convex edge. From there I just dove in on the sandpaper and mouse pad. If you don't know already, the mouse pad under the sandpaper adds cushion so the sandpaper can "give" and provide you with a convex edge. I gradually worked my way to finer grit sandpaper until I got down to 2000 grit. After that, I used a leather strop that I made with some green compound. This process, if done right, seems to give a nice polished edge. Here's a picture of a folding knife that was one of my first successes!
[Linked Image from i58.photobucket.com]

Good luck with your sharpening! I think you'll get a lot of different opinions on how to sharpen. Mostly, I think you just need to practice and find out what method you are best at and most comfortable with.