When polishing metals, it is quite common to use very fine grit (high grit count) sandpaper. I use it frequently. It's also recommended to use up to 1500 grit sandpaper when preparing certain wood surfaces prior to oiling with certain products – I did it recently with some Oregon when using a citrus oil and it was smooth as a baby's bottom afterwards (and it smelled amazing too)!
With 2000 grit wet/dry plus metal polisher I have managed to get mild steel to basically look like a mirror. Doing that will give you a workout, I can tell you that. It makes polishing aluminium a breeze.
Wet/Dry sandpaper is not an oxymoron, it literally means one can use the paper as-is (i.e. 'dry') or with some abrasive/'polishing' liquid such as Brasso (i.e. 'wet'). Think of the way you use a cleaning or polishing product with a cloth, this is literally how it works. Wet/Dry sandpaper often is a bit more expensive as the paper ground is tolerant (i.e. it has something of a resist) to the wetness.
Technically the misnomer is the word 'sandpaper': Wet/Dry is not traditional glass/sand beaded paper normally used on wood but a very fine carborundum grit paper.
Because the majority market for these fine grit papers is for (metal) polishing where an abrasive compound can make a huge difference, this is why pretty much all very fine sandpaper is Wet/Dry. But you can easily get 500 grit paper in the other standard paper substrates at most home improvement/building stores.
Check this quick video out which as an example:
How to polish a dirt bike frame
But the video by Paul Sellers is much more instructive, he just takes it as a given that you know what wet/dry 'sandpaper' is.