It really depends on how fine you want it. Go down to your local hardware store and they'll probably have sandpaper ranging from 40 to 600, check it out and decide which one is the one you need. I suggest eyeballing the ones from 300-600.
It depends on the grade of wood you are starting with and how you plan on treating the finished product. If you are going to varnish it, start with a 120 grit to smooth the wood and always work with the grain. Then move to a 200 grit, then a 300.
Of course, you haven't told us the type of wood you are using (pine, maple, oak walnut, etc.). It will make a difference and these are only general guidelines. If you're working with briar, it's a different game altogether.