New Sharpening Stone

I just bought a combination water stone from the Japan Woodworker. It is a King 800/4000 grit stone. After sharpening all my tools, I have concluded that my previous sharpening tools were about as useful as trying to sharpen blades with toothpaste. Before, I have had assorted sharpening devices. The first, was none at all. I didn't know that you were even supposed to sharpen. I thought once a blade got dull, you just got a new one. The second "solution" was a file. Horrible, I know, but it didn't last too long. Then I moved to an extremely slow cutting oil stone. It was about 500 grit. And the last(before this King) was sand paper on glass. I have heard good things about this system, that its the only system you need, but I could only find sandpaper up to 600 without going to an auto store.