I sanded them in 4 stages using 400, 800, 1000 and 1500 grit wet dry sand paper. Then buffed them with a buffing wheel. I usually save that for when I want to catch up on tv shows on the DVR. The buffing wheel I bought at Harbor Freight for about $50 but I know some people use a dremel tool. I have one but haven't tried it yet.
I have also gotten a wonderful glossy shine using Kato liquid polyclay. Brush a thin coat on your baked item and use a heat gun on it until it goes clear and shiny. But I need more practice with it. It creates a beautiful clear shiny finish which reminds me of resin, but sometimes (and I don't know why yet) my stuff will be left feeling...not tacky/sticky...but 'grippy' like a rubber ball. Like its got traction. That could be great if your trying to make clay covered pens and you want to make them grip-able. lol
If I ever figure it out I will be sure to let everyone know because the shine in my opinion is equal to all that sanding and buffing in much less time!