When we teach sharpening, we teach a combination of the sandpaper and waterstone methods. I've done some research (and I'm sure it can be improved) to simplify the grain size dilemma.
The main difference is for sandpapers (for wood and Wet & Dry) both the American and European grain size use the same sequence of grit sizes 80 (coarse) to 220 (fine) but then at 320 the actual grain sizes diverge.
The US standard is known as CAMI and the European Standard as FEPA. The easiest way to spot the differences in the abrasives is that the European grain sizes have a P prefix (P120 for example). Canada uses the European Standard - so many of the Norton sticky backed sandpapers (our favourite) are sized to the European Standard.
Here is the chart of grain sizes I made to help you understand the difference. The last column indicates the use of the grain size in sharpening (You'll need to click through to read it):
When sharpening or sanding you proceed through the grits in sequence with the number getting larger (120- 150 - 180 - 220 - 320 etc). Where you need to be cautious is if you have a mixture of US and European Grits because going from a US 400 to a European P800 is no change in grit size. You'd need to go to a European P1200 to get a finer grit.
The moral of this post is that you need to carefully check the grit size and source when you buy your abrasives.