The reason I sharpen my own knives is because I spent a lot of money on them and I use them daily. I got my waterstone (and I'm going to guess that a whet-rock is the same thing) from
Lee Valley. A coarser stone will create more imperfections in the edge of your knife, and anything finer won't do much to actually sharpen it. As the name suggests, water is the only lubricant you need. Keep it soaking in water, and keep the stone wet when you're sharpening. I found
a great guide to sharpening knives. It can get pretty technical, but all you really need to read is Section 5, the key to using a waterstone is keeping your knife at the same angle the whole way through the process.