I've literally cut paper like this this for hours.
I tried the cheap Walmart sharpener btw, and the quality of that is... subpar. I've held the best knives before and I was only going to be satisfied with a better experience than cheap crap. A long time ago, I was a knife salesman... and once you feel the potential of high quality knives... you really can't go back.
Fortunately, if you manage to buy high-quality steel blades, a good sharpening routine, as well as good "knife care"... it seems like you can get rather sharp knives and keep them sharp. The Zyliss knives are high-carbon steel with a full-tang. It looks like cheapo rubber and plastic all over, but it gets the job done. They have simple little plastic sheaths that do keep the knives protected as well, so its the cheapest thing I found that meets the bare necessities.
Still, a set of whetstones still is a chunky investment. My investment is ~$75 for my whole set... a bit more than what most people spend on knives... but cheaper than a very high-quality knife.
I pretty much just bought various Grit sizes that seemed cheap on Amazon. The recommendations elsewhere seem to be "Coarse" (Less than 1000), "Medium" (1000 to 2000) and "Polish" (well over 2000 grit). I grabbed three grits from "On Sale" items on Amazon for 600, 1000, and 6000... but I don't expect the specific numbers to be too important.
* Utopia Kitchen's 600 / 1000 Grit stone $16
* King's 1000 / 6000 Grit Whetstone $27
* Norton Flattening Stone $32. Water-based Whetstones grind very quickly and become "curved" in a very short time. If you want a "flat" knife, you must have a flat stone. So re-flattening the stones after every sharpen is necessary. From my understanding, "Western Style" oil-stones don't need to be flattened as often.
In frustration in my first couple of attempts, I've also purchased a 20-degree angle guide. Although I really should have just done the paper-trick. Still, a big 20-degree wedge really is teaching me the proper angle and stuff... there are cheaper plastic ones also available.
I've also got a honing steel. Remember: Whetstones are for sharpening! Honing steels are for realigning the blade! The honing steel is incredibly important, but it really doesn't do the job of "sharpening".
Anyone else get into knife sharpening? The Whetstone took me several hours before I "figured it out", but I'd have to say that this is the sharpest blade I've made personally. So I can highly-recommend water-based whetstones to anybody who is willing to put forth the effort.
The concept is rather simple: keep the knife edge at 20-degrees against the flat whetstone. The "hard part" is training your hands to keep the blade at a 20-degree angle the whole time. Especially with the "tip" of the blade, because you have to lift the knife handle through the curve to keep the edge at a 20-degree angle. So its not like you can just keep your hands still the whole time.
Beyond that, rub the knife at 20-degrees until the "burr" is created. A burr is simply a flap of metal so thin that the metal "curls over", this is the limit of your blade itself. After that, polish the burr out and move up to a higher grit. At the highest grit (6000 grit for me personally), you're basically polishing the blade. You can physically see the "shininess" as the edge gets smoother and smoother... polished to a mirror-like finish. Even then, some people don't stop at 6000 grit. They take the final step of "stropping" the blade on leather. I'm personally happy with my 6000-grit level of polish even if it isn't the sharpest possible.