Since I discovered this I've never gone back!
I use a dremel cutting disc to rough cut formations in plexi. But for a fine edgeing I do this...
I use an electric palm sander with a special 3m brand fine grit specially designed for paint strip jobs. Hardly any elbow grease, and wears down lexan and plexi smoothly and quick, but not too quick and wild like a belt or disc sander.... You can maintain great control with a palm sander.
If you don't want to invest the $20 or so bucks in a palm sander (Which will come in very handy for lots of other stuff), I'd say avoid the belt, disc, and dremel entirely for fine edge work and go for the ole' fashioned rubber hand grip! It's basically the concept a palm sander was designed around anyways! lol!
Home Depot sells the paper for sure... It's usually teal colored and a bit more expensive. However, the cost is offset because the paper is tough and the grain is much more strongly adhered to the paper. You'll go through regular sandpaper like an old millionaire in a brothel on plexi... Trust me, this stuff, although more expensive, is cheaper in the long run for fine forming plexi and lexan.