I went to my local home improvement store, and went to the sandpaper section. The highest grit that I found was 1000 grit. But, I know that it is a little rough when polishing scale models.
Where do I buy very high grit sandpaper (or sanding sponges, around 2000-8000 grit range)? I was thinking Amazon, but any stores that have it?
Try Megahobby, Squadron and Sprue Bros are just a few. Check a copy of FSM for their advertisers page. Model Car Magazines should have the same thing. Micromark and Model Expo also have all types of sanding supplies.
Although I have bought finer grits at Hobby Lobby, if I want to polish with something finer than 1000 I go to polishing compounds. If you use polish it is important to use a wax-free polish if you will be painting that surface later. Toothpaste is a polish that you probably have. Talcum power is a very fine polish- mix it with a little water. There is another very fine polish material- rouge, but it leaves a red stain on aeverything than metal but is a great metal polish. One advantage of polish and soft cloth is that it conforms well to surfaces better than sandpaper.