I restore cars and have a fair amount of experience at this kind of stuff.
Usually, 2500 grit will not burn through a finish, since it is so fine. It will dull down a finish (which it is supposed to do). I usually start with a little used 600 grit for a moment, if it is a bad scratch, and then move on to a 1000 (1000 is pretty safe) and a 1500 and a 2000. Any sandpaper (use a wet one and use lots of water) should be used with a professional flat sanding pad. Resist the temptation to just sand one tiny area with your fingers and instead sand with a pad on a bigger area to get it all flat.
You then need to rub it out. I use a swirl remover polish with great results but there are other products that work. You need to go to a Professional car paint store and buy a professional product and then test it out on something first. Once you find a product you like, stick with it. It will not be cheap and expect to pay $20 for a container of it.
You will want to use a good clean cotton cloth (tee shirt works) on a small area and some elbow grease and rub it out by hand. Larger areas like a car you can use an AIR powered buffer with a High Quality backing wheel only if you know what you are doing (it will go right through a finish if you do not know what you are doing). Avoid the electric buffers unless it is something like a fiberglass boat hull.
After rubbing it out, I usually let it sit for a week or two if it is an older finish and a month or two if it is new to let it dry and then wax it with a Good quality carnauba wax like Mothers. Avoid the cheap stuff.
All in all, you need to use the best professional products and find something you like that you know works and get used to using it. It is not that hard, but there are no shortcuts.
Here is a pic of a vintage 76 Musicman I just refinished. Some clown sanded off the original finish (never a good idea). It was black and I had to take it down to bare wood. It has a real open grain, which I had to level first with a sealer. I wanted it to look older rather than new and did not do a 100% perfect job (never a problem with my getting less than perfect!) and I am pretty happy with it. It has a slightly mottled look to the wood color which I think makes it look more like a 35 year old played on finish.
