If the piece is relatively small, and you’re not trying to remove an old finish, hand sanding’s fine. Start with 80-grit garnet paper for the initial work, then go over it with 120-grit, and finish things up with 180-grit.
You can fold a piece of sandpaper in thirds (like a letter) and do it by hand, as long as you don’t sand too quickly; the friction will warm your hand very quickly. Or wrap the paper around a block of wood or a pre-made sanding block with grip. If you’re working with a curved surface, a styrofoam block is best, because it gives a little.
To get into nooks and crannies, like those on trim or mutton-bars, you can use a piece of plastic cut from a household container. This gives you the necessary firmness and flexibility.
A belt sander reduces your work on bigger pieces. Use 80-grit paper for the initial sanding, then go over it with a 120-grit. A lot of times, this will be enough. If you need to go further, use 180-grit and sand by hand.
(Hint: Use cloth-backed resin bond belts. They can be cleaned with a crepe rubber block, and last longer.)
There’s a bit of debate over palm sanders. Some say use them as finish sanders. Others say the orbital action scratches unfinished wood.
Whatever your opinion, a palm sander’s great for sanding between coats of varathane or urethane. When you put on your finish, those nicely sanded wood fibres soak up the liquid and stick up. Use 240-grit paper and press lightly, particularly on corners. The trick is to smooth the surface without removing the finish.
A final note: If you’re sanding paints or varnishes — or even a lot of wood — wear a mask or respirator.