This.
And not just because he said me. To be fair if you're just looking for a colour change then you're right about rubbing it down first - go for a final finish around 600 grit, superfine sandpaper will be too smooth fop the paint to grip properly. I'd make sure you get all the blue off, down to metal if you can but it's not an absolute must. Then get thee to Halfords and buy some grey primer (you may need to get plastic primer AS WELL not instead of for the plastic parts) and some matt black paint. Primer first then colour but work in light coats. DON'T try and get full coverage in one go or it'll run and look shit. FOLLOW THE INSTRUCTIONS ON THE CAN. If it says allow 30mins between coats then do it.
It's not rocket science but if you want a good result, don't rush it.
If you want a more "gunmetal" type finish, once it's black grind up some soft pencil lead with some sandpaper and rub it lightly over the black using a bit of cotton wool. You'll get a nice grey, metallic effect. Seal it with some matt clear coat (PlastiKote is good for this).