Lacquer is certainly the preferred finish, and wet/dry 1200 or even 1500 is perfect, but you want to use very little water, but enough. If you use to little, the paper will load up and either not cut at all, or scratch. Try dipping the paper in water often, rather than applying the water to the surface.
Personally, I would get at least 3 coats on before I wet sanded at all to help prevent going through the finish and staining the wood with the water. Slow on the sanding- you can always do more, but you can't do less after you've gone too far. Watch it particulatly around the edges, just like color sanding a car.
After you have built up enough coats (6 to 12 as above is good), you can give it a final wet sand, then compound and polish it like you would a lacquer car finish. If you never touched anything lower than 1200 grit, polishing will likely be enough and compounding will be too harsh. Just buff it out like a car finish, and you will be fine. This may take numerous times to get it to the sheen you want.
Obviously, you can't do this with the gauges in place, or you risk damaging them and doing a less than optimum job.
The products I like are Mohawk. I refinish antique radios too and the Mohawk products are by far the best I have used. If you have stripped the wood, a toning lacquer (lacquer with a hint of brown pigment it is very light and transluscent) for the first couple of coats will even the color, followed by a high-gloss, if that's the look you want. You can get Mohawk here:
https://www.tubesandmore.com
Go to the Radio Restoration, then Cabinet Restoration page. They have all kinds of refinishing supplies that may be of use to car nuts like the aforementioned toning and gloss lacquer, and wrinkle finishes.
Don't forget the sanding sealer to seal the pores before the lacquer, or you will get grain marks showing though. If it is a particularly porous grain, like some walnuts are, you may need to mix up a thinned, colored filler to spread first to seal the grain, then sand most of that off. Filler should be put on extremely thin and should mainly be in the pores and not on the surface. If you have a reference book that talks about it, I would bet that's how the high end shops finished automotive wood originally.
Careful sanding the wood, most is very thin veneer, though some cars have solid wood. After sanding and filling, apply a couple of coats of sanding sealer, sanding with 400 or 600 between coats, dry. The sanding sealer is porous itself, so you don't want to get it wet. Then apply toning lacquer, then gloss lacquer.
I know the mohawk isn't cheap ($6.95 a can) but the stuff you get at Wal-Mart or Ace for $2.99 doesn't flow out and self level like Mohawk. That is a particular issue with lacquer because it dries so fast.
Good luck