Fine steel wool is what you want.
If you are doing a maple fingerboard then tape off all the spaces with a non residue tape like painters masking tape. If you have a rosewood board just use the steel wool. No other prep is required.
Some people like to wrap their fine steel wool around a small block of wood for polishing their frets. Others use their hand and steel wool.
I think a couple of others have gotten more elaborate with sandpapers etc. but I have found it unnecessary to do so.
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