Hi Simon,
The easy, but very effective way, is to use a Lansky or Gatco set. I've used that for years with great success. Some people might call it cheating.
An alternative to oil stones could be diamond stones or japanese wet stones. I've been trying both, but must confess I'm struggling with getting a good burr. No fault of the stones, it's purely down to a lack of skill and thus probably lack of time spent practicing.
However, I really like the idea of being good with a bench stone, as small stones like the ones made by Fallkniven are a lot more portable than the Lansky types. And, it's also a kind of old-school kind of skill that's cool to master.
If you are looking for a good book on sharpening with stones I'd recommend Chad Ward's "An Edge in the Kitchen: The Ultimate Guide to Kitchen Knives". Although it's about kitchen knives the section on sharpening and stones applies to any type of knife.
Regards,
Christian