Please observe that I am totally new to this, so I just followed Bosnian Bills (a youtube guy) suggestion.
I did the following to my Praxis kit, which did the trick, as those were really grabbing everything in the keyway:
1) Ran off the spine on both sides with grid 600 by placing the sanding paper on the corner of a book and running the pick over it with a good amount of pressure.
2) Cut some strips, also grid 600, and rounded off all the edges ever so slightly, and made sure the pick tips themselves weren't grabby at all.
3) Folded a sheet of grid 1200 and put it in the middle of said book, and yanked the picks back and forth in the sandwiched sanding paper until they had a nice matte shine.
I've never owned any other picks, so I can't give comparison to other products or finishing methods, but I know a bit about working with metal in general, and the result was very satisfactory. I suspect that it won't make a noticeable difference pickingwise if I go to grid 4000 and finish with a buff wheel, despite the visual appearance would be a mirror shine.