This advice is based on my own personal experience. There are a lot of folks out there on the Internet who are a lot smarter about this than me; look for those good folks on BladeForums and other similar sites. The tricks I list here work for me, and while it's not always enough to get my non-exotic steel knives hair-popping scary sharp, it does get them sharp enough to cut stuff, and that's really all I care about.
One problem you can have with sharpening a knife, especially the first time from the factory grind, is not hitting the edge. To help diagnose this issue, there is something called the Sharpie technique. Just take a Sharpie and draw along the edge. When the mark is removed during sharpening, then you know you are hitting the edge. I like to make little "tiger stripes" in the direction from the spine to the edge along the bevel, that lets me see exactly how far up I'm hitting (and thus roughly what angle I am sharpening at compared to the bevel). If you aren't hitting the edge, only the shoulder, you are shapening at too shallow an angle. When you are removing the ink from the edge then you are doing it right.
The Sharpmaker is a middle of the road guided sharpening system that can handle 30° and 40° angles. The triangle shaped rods that come with it can also be stuck directly into the side, functioning as mini bench stones that let you select your own angle. The rods are made from the same material as the Spyderco bench stones. The system comes from medium and fine rods; I also have the ultra-fine rods but these are more for polish than anything else. Spyderco also makes a set of coarse diamond rods, and a set of coarse cubic boron nitride rods. I'm not sure how these two compare against each other, but they are both of them more coarse than the medium rods that come with the system.
Generally speaking, I find the Sharpmaker perfect for pocket knives like Swiss Army Knives. However, if your knife has a bad grind on it then expect problems, as you may not be hitting the edge even at 40° — the Sharpie technique can be used to easily check for this. In that situation, either try using the manual angle side mount, or switch to another method of sharpening. This can be a good reason to try using bench stones instead.
The main point of stropping is not to remove metal from the edge but to align the metal along the edge. In this way, periodic stropping on bare leather, wood, newsprint, or denim can maintain an edge without removing material. However, you can load a strop up with abrasive compound that will remove metal. Oftentimes this is done after sharpening is done by another method, as stropping compounds typically have very small particle size, with the smallest only really being suitable for polishing. Stropping can also create a convexed edge, the severity of which depends on the backing material (e.g. leather moreso than wood).
These people are a lot smarter than I am.