As a cheaper option for new users who aren't sure about their commitment to straight razors, diamond lapping film (DLF) is a viable alternative to hones or pasted strops.
DLF: 6, 3, 1, 0.5 micron, respectively
I like DLF because the film lasts longer than normal sandpaper. Also, the resultant edge is more refined than those produced from other papers.
I buy my diamond lapping film from Precision Surfaces Interational. (Thank you to Seraphim for the recommendation.) They come in their respective storage bags. You can either purchase the film with Pressure Sensitive Adhesive or the plain paper. While the PSA is convenient, I purchased the plain paper because it's cheaper and just as effective. The sheets I purchased were Type A 3"x6". For our purposes, we'll classify Type A as the normal grade. At the time of this thread, the sheets cost $4.75 each. While the shipping & handling isn't cheap, I haven't found a better total price from one source.
You will need a flat base on which to affix the sheet. The two easiest items to procure are glass and tile. I bought tile from Home Depot at $0.21 per piece. You need only one but since they were so cheap, I bought a few. I recommend that you glue the glass or tile to medium-density fiberboard (MDF) treated for water or on a block of wood if you like more depth. I'm comfortable with the thin tile so I did not do this.
Water, if applicable
If you don't go for the PSA DLF, then you'll need to spritz some water on the tile so that the sheet can stick to the tile. I have a spray bottle that I use when I need to give my hones some water during use. It works pefectly in this case. Then I use my finger to smooth out any air pockets or puddles.
Pictorial (sorry for the poor color balance )
I hone razors with the edge leading. If done properly, the edge will not catch and tear the paper.
Since DLF doesn't perform exactly like stones, you may need to tweak your routine. However, the results are exemplary. Once you decide on whether straights are for you, you may look into stones. Happy shaving!