Hi Dave - not spent time with waknut (very sorry, my humour gets me into trouble often
). it's a beautiful wood, very fine grain and gets away with minimal finishing (esp. on a box, which will not suffer heavy handling.) personally I'd go for a light natural oil - applied very thin and left a while, then buffed up. Not widely accepted but natural oils are actually finishes, being capable of hardening off and taking a soft sheen - ideal I feel for walnut, will allow the grain and depth to really show. Whatever you go for please avoid glossy synthetics... your walnut deserves better then that.
(edit) sorry, missed the sanding bit - this is very personal taste but I try to avoid sanding at all. If you can get the surface you want off the blade, skip sanding. If you have to sand, then brush all the dust out after - sanding makes things feel smooth, but mainly cos they are clogged with dust, which truly challenges any later finishing as the dust turns grey. For final finish consider a well-tuned cabinet scraper?
[have a funny feeling I'll be in trouble over this 'advice'... we'll see]