A few do it themselves but for a couple of parts it's not cost effective if you're not already set up for it, plus there's the learning curve. Plenty of recommendations on here if you do a search.
It's not such a big thing on road as things tend to be clear or black anodised but for mountain bikes it can be easier, and sometimes cheaper, to find a random colour part and get it re-anodised to the required colour rather than waiting for that colour to turn up.
Few random things:
One thing I've seen some blogs recommend is to use wire wool to clean all parts. That's fine on steel but I've always been told not to use it on un-anodised aluminium as steel's harder than aluminium and so particles can become embedded which later rust.
If you don't already, keep you old toothbrushes for cleaning work, or buy super cheap value ones.
Obviously when sanding use the finest grade you can get away with, don't automatically start at 400 if 800 or 1000 would do, just makes more work. So try at a finer grade first and see if that's enough. You can always go courser but start course and that's it.
Sand in the same direction for a particular grit. Some go a right angles for the next finest grit others stick to the same direction for each. Think that depends partly depends on the shape of the thing you're sanding.
Wear gloves when sanding or polishing aluminium, it's messy.
You can use bath talc or bicarb of soda to remove any buff marks left after final polishing. Apply and re-buff.