my take having done A LOT of sharpening.
First I know the common lingo is "sharpening" but actually this is not accurate the way that it is commonly used. Sharpening is something that you should do infrequently. Honing is what you do frequently. Sharpening involves actually shaping the blade. Shaping the edge of the steel. So every time you sharpen, you are losing steel. Sharpening also does not get you to your sharpest or best edge. Instead it leaves the edge in a very rough state. Honing is where you refine the established edge. It is where your sharpest and actually most durable edge is achieved. When I was learning how to sharpen, I saw pictures of this under a microscope which really helped me to understand what was going on. The difference between what you can see with your eyes as to what is actually going on between sharpening and honing is dramatic. Definitely one of those "details" that make all the difference.
There is a lot of strong opinion on what the best methods for sharpening/honing but in my humble opinion:
1) a waterstone is better than an oil stone. In either case though, you will need more than one grit to do it properly.
2) if you use an electric wheel such as a grinder, slow is superior to fast for many reasons. One being that depending upon what type of steel you are grinding, a fast wheel can ruin the entire blade not just by grinding incorrectly but because they quickly generate heat which can ruin the temper.
3) if you do sharpen, use a jig. The jig is what will provide consistency. Without it, you will make a lot of mistakes and your knives won't last as long. They have jigs made for waterstones like the one you linked to. It's basically a little brass device with a wheel that rides the surface of the stone. The blade is held at an angle so that it is sharpened consistently.
You can use a varying degree of sandpaper "grit" to get ultra sharp knives. I have seen sharpening stations made with a sheet of safety glass (because it is perfectly flat) with degrees of sandpaper glued in order. The idea being that you start with a low grit and work your way up. The increasingly finer grit gives you an increasingly finer finish. I have used this method for other purposes getting a mirror finish on both steel and wood. You can get steel about as sharp as possible doing this and it is relatively inexpensive but obviously won't last as long as a wetstone. In ultra fine grits, the sandpaper is equivalent to honing. These ultra fine grits are used for glass and even plastic. The windows on commercial airplanes for example. This is also the idea behind a leather strop as for example used with straight razors.
Is it difficult to learn? Not really but there are nuances and skills that will affect results even dramatically. This wiki article might be useful. The picture there also shows jigs used.
http://en.wikipedia.org/wiki/Scary_sharp