The world's your oyster now...you COULD use HF walnut media but it is sloooow. If you were local I'd give you a load of mine to experiment with. You can get treated corncob various places (ammo reloaders use it) and it's faster. And you can get ceramic media that actually has abrasive cababilities.
I tried beach sand once and it's gentler than I expected.
Resist the temptation to make a wet slurry. You want whatever you use to be dry.
It's a great machine and you'll enjoy all the finishes you can get. I LOVE putting "stone washed" finishes onto my machined items using the HF ceramic media. Nothing beats stonewashed, it looks new and used at the same time.