I'd only bother with the 200 grit if your makes are really deep. 400 should be good, finishing with the 600. This depends on the rest of the finish though, and you may find that going 600 might make the area you're working on too polished compared to the rest of the piece. Wet sanding works really well in that it provides some lubrication to make moving the piece around easier. Quite often, using dry sand paper will cause you it to catch. When this happens, it causes more damage and ruins the paper- meaning you no longer have a nice even surface to sand with. Creases in sand paper are bad.