First, make sure the surface is clean.  Use a caustic based all purpose cleaner.  Acid also works very well, but remember that is does eat through aluminum surfaces so be sure to rinse it off.  (Don't ever use acid on the rims after polishing them).
The factory 300zx rims come with a clearcoat.  In order for the rims to be sanded/polished, the clearcoat must be removed along with the "machine lines" on the rim.  Remove them by wetsanding with 320 grit sandpaper.  It'll take some time and patience.  Also, when polishing the rims, be sure to do only the flat surfaces and the outer edges.  The inner slats should be left how they are, as they create a nice-looking contrast and would be extremely difficult to sand/polish anyway.  Some surfaces, such as the manifold cover or the throttle body, have a different texture then the rims.  The only difference in polishing them will be the grit of sandpaper that you will start with.
Sanding can be done either by hand or power sander, but be VERY careful with a power sander.  Adding some padding (like foam) to the backing is a good idea, since the metal clips on palm sanders tend to gouge the surface of the rim.  Always finish each sanding step by hand to get any areas the sander may have missed, and be sure to have plenty of fresh sand paper as it will wear out rather quickly.

To sand the rims:

• -wetsand with 320 grit paper
  emphasis on 'wet'. Use a lot of water in a spray bottle
  (320 grit will leave sand scratches. This is normal....duh!)
• -remove 320 grit scratches by repeating step 1 but using 400 grit instead of 320
• -wetsand with 600 grit to remove scratches from previous sanding
• -repeat same step with 1,000 grit, then move on to 1,500 grit sandpaper.