• Before beginning to polish metal, it's usually useful to prep the metal with a tar remover or some type of solvent based cleaner. In cases where the metal is extra dirty (such as exhaust pipes), use a grade 0000 steel/bronze wool with the cleaner.
• Use the finest polish first (as with paint). Only resort to more aggressive when necessary.
• Try to use metal polishes with wax/sealant to protect the metal and retard onset of oxidation.
• Polish metal in a straight back and forth motion avoiding any circular motion.
• If you have deep scratches, first wet sand perpendicular to the scratch and then polish parallel to the scratch. (I suggest using 2000 or 2500 grit sand paper for this task) This will save you a lot of time and elbow grease.
• If you are using a machine to polish the metal, be careful not to overheat and burn the metal, thus discoloring it.
• Remember to dry any bare, polished metal immediately to reduce the effects of oxidation (i.e. highly polished wheels after washing or rain).
• Don't use everyday, consumer paper towels. Many of them are rough and will leave marks; so a good alternative is using specially made cotton based disposable towels or microfiber towels.
• As your cloth/wipe starts getting black from the polishing, do not immediately switch to a clean cloth; this is when the real polishing is done.
• I would recommend using at least (2) polishing steps in polishing metal surfaces in order of aggressiveness.
• To bring out extra shine and clarity, wipe the surface with glass cleaner containing ammonia and buff out or use Liquid Gloss instant detailer.
• If you see black residue leftover from polishing in crevices, sprinkle some flour or corn starch and wipe down. This will absorb the remaining polish.

See some results here.