Lots of different sanding tools out there. Some guys use the nail boards as fumblethumbs had mentioned. I use sanding sticks like the ones shown in this basic tool kit;
http://www.scalemodelguide.com/guide/construction/basic-toolkit/
I have even made my own by gluing sandpaper to blocks of wood or PS strips. If you have a chance take a look at the basic modelling piece DreamKnight did on this website;
http://www.scalemodeladdict.com/forum/index.php/topic,1297.msg35021.html#msg35021
Hope this helps
JMac