I finished polishing two months ago with the same EX wheels. I wouldn't skip from 800 to 1500 grit. You need to put 1000 grit in there. The best way to sand is a back and forth motion with a grit and the next grit up you sand at a 90 angle from the previous. That way you can see some of the cross cuts and sand them out. This way, when you compound then wax, the shine would be more bright.
You can see in this pic how important cross sanding is. When i finished polishing, you can see the lines. I didn't sand correctly.
Fixed with cross sanding, while sanding I would see the lines and sand them out.
You can stop at 2000 but if you want that brighter more chrome look, I would go for 2500, and if you can afford it 3000 paper. You don't wet sand with 3k, forgot why.
Another tip: The bucket of water for sanding, use dishwashing soap in there and get it sudsy. That way the sanding feels smoother and the material doesn't cling to the sandpaper as much.