I've done this to about 10 guitars, now. I had a friend who had a guitar with a sanded neck, and the playability was so vastly superior, that I did it to my LTD Ninja-600. Then I did it to a couple of my Ibby SZ series guitars, a couple of friends guitars, my EC401, and most recently my LTD Elite Horizon-III. I would HIGHLY recommend it. But don't go in blind. If you have something that you can practice on, do that first, just to get a feel for what kind of pressure you need to apply.
Before you start, make sure you tape off whatever you don't want sanded...like the edges of the fretboard so you don't hit the frets, the top of the neck where you want the sanding to stop, and the neck join area where you want the sanding to stop.
As far as methodology goes, I started with 100 grit sand paper. VERY light touch to get the gloss off. Then 400, SLIGHTLY more pressure, to make sure there were no gouges or anything. From there, I went straight to wet sanding with 1000 grit to smooth it out. It comes out really nice. Next time, I will probably do it a bit different...start with 200, then 400, then 600, 800, and finally wet sanding with 1000. Get some bore oil (can be bought from Amazon for 1.50 with free shipping) and use a dry cloth with some bore oil on it to clean things up when you're done.
Also, I did not take it down to bare wood, I left the paint on there, just took off enough to remove the clear. Tung oil is a good option to finish off with as well.