First, you can't sand
with the regular Dremel
sanding bits... they're way too abraisive for baked polymer clay (which is fairly soft compared to the metals and even wood that those bits are intended for).
The easiest thing is just to sand
them by hand with wet-dry sandpaper and a little water using first 400 grit, then 600 grit (if they're really lumpy-bumpy-etc, start with 320 grit). Don't skip
grits when sanding though, like from 320 to 600, or from 400 directly to 800 or 2000 --won't give a good result. (There are other ways to sand as well... see Sanding
page below for those.)
After that, you'll need to buff
If you want to get a high-gloss
shine (and no liquid finish would be needed), you'll need to use an electric
buffer of some type though because if you buff only by hand, you'll get only get the clay surface up to a nice sheen instead of a glassy gloss.
Many of the buffing wheels that come with a Dremel (or other brands of rotary tool) are too stiff to work well with polymer clay though (in fact the solid felt
looking ones will act more like sandpaper on baked clay than like buffers).
What you'll want it to use one of the (many-layered) muslin-cotton buffing wheels sold for rotary tools, but it's best to remove the outer
ring of stitching even from those to make them fluffier and less stiff.
There are other buffing wheels that can be made, or purchased, for the Dremel that work well with clay also. Or other kinds of electric buffers can be used.
There's loads more info on using Dremels specifically for "sanding" and buffing clay on this page at my site:http://www.glassattic.com/polymer/tools_Dremels_worksurfaces.htm
(... click on Buffing
If you want to read more about sanding and buffing the clay using other things besides a Dremel (i.e., sandpaper, etc.), check out these pages:http://www.glassattic.com/polymer/sanding_tumbling.htmhttp://www.glassattic.com/polymer/buffing.htm
You can also just use a liquid
gloss finish to get a high gloss on baked clay (often without sanding at all, though fingerprints and dings will still show through), and some clayers even do both sanding/buffing and liquid finishes, sometimes alernating them.
If you want to read more about liquid finishes and which work well for clay and how to apply them, etc. , look on this page:http://www.glassattic.com/polymer/finishes.htm
You might also be interested in this previous thread on finishes:http://www.craftster.org/forum/index.php?topic=190875.0
P.S. Be aware that you could sand off parts of metallic leaf or powders or paints, etc. which had been applied to the surface
of the clay... so you might want to use only a liquid finish if you want to make sure none of that gets sanded off too.