Generally speaking, I don't use a true rubbing compound at all. Occasionally I will for parts that won't be seen often and I don't want to spend a lot of time blocking. Most of the time on a body panel or other parts seen very often, I'll wet sand to 2500 grit and buff out first on a low speed with my rotary buffer and then with an orbital buffer. I used to use 3M glazing compound, but they quit making it a few years back so now I use Maguires Scratch X followed by their finishing compound. The trick is getting your sanding done correctly. It's better to lightly buff a perfectly sanded part than try to cut remaining orange peel with a rubbing compound. A good trick to know for this is the use of a squeegee. Using this while wet sanding will show you low spots that still need attention. They will show up slightly darker once you wipe the wet area with the squeegee. Oh, and whatever you do, don't ever buff across a corner. You will burn through that edge quicker than any other area and then you'll have to paint the part again. Buff up to about 1/4" from the ridge of a corner and then lightly hand buff the ridge to remove sand scratches...or haze really if you went to 2500 like I do. 2500 grit will sand a panel to a point of it actually shining just a bit. This will also make you buffing job MUCH quicker.

Edit: I forgot to mention...DON'T sand with your fingers. Get a high quality soft foam block. YOur fingers will put ripples in the pain that will be obvious once you buff, especially if it's a dark color.