I've sanded down / reshaped the grips of most of the fly rods I own, both factory and the ones I've made. As FI said, take your time.
To shape you can start with 80grit sandpaper. Shape with that, and use progressively finer SP up to 1000 to finish.
I cut the SP into 3" strips and fold it over, ending with a 1.5" strip. Keep turning the rod and keep it moving and working a section. When you have the shape/diameter you desire, do the same thing with progressively finer sandpaper.
Turning the rod and sanded it is actually going against the grain of the cork. To get really smooth finish, I run the finer SP lengthwise along the grip while turning.
Any cork will have to be filled. I suggest using Elmers "Golden Oak" filler. Fill voids, let it set for maybe an hour, and do you final sanding lengthwise for a great finish.
Take your time! It's not hard, but it takes some time and patience to get the job done well. You may want to experiment with a beater rod first to see how it all works.
Good luck.