I always used arkansas stones, but I recently bought a couple of diamond stones and they are pretty handy. It takes about 5 times less work to build an edge, but for final honing there is nothing like a good piece of novaculite and a leather strop. I have japanese water stones I use for broadheads and certain kinds of blades (high-end japanese steel seems like it takes a hone better on them, any thoughts?). Let me know if I get too pedantic, but when you are honing an edge you are working the steel down to a thickness of, ideally, a couple molecules of steel. So, I find it helps to visualize the burr being knocked off and leaving a fresh line of molecules. (Too zen? You must be the steel, grasshopper...
)
Like Stringman said, it takes practice. I spent a lot of my childhood ruining cheap knives learning the necessary muscle memory, but now I do everything freehand. Of course, a weird shape like a kukri shoots all of that hard-earned practice in the foot, but keep on practicing. My suggestion is practice on cheap steel that's not precious to you, or buy a jig. Jigs are really nice for spokeshave and plane blades, in my opinion.
I don't know if this is advisable, but I drag the edge across my thumbnail to detect the burr and tell when it's sharp. A truly sharp edge will bite and stick in the thumbnail (just don't put a lot of juice into your testing, you'll lose a nail
). A burr will feel like, well, a burr: it will kind of jump and rasp across your nail, and never bite in. A dull blade just glides across your nail.
Good luck. Sharp tools are one of the small pleasures in life, and dull tools are just really annoying. You start cutting into a chunk of osage with a truly sharp drawknife and you will wonder how you ever managed to make anything before.
Jack