I have done a few frames with nothing but sand paper. It does take some time and effort. Some brands the paint comes off easily with sand paper. The Chicago Schwinn's don't come off so easily. The Greenville Schwinn's I haven't done yet, however, their paint does not seem as durable.
I have never used the heat gun and scrap method. Interesting because for work at home, including oil based paint, it is what I use. No one here has mentioned using this method either.
The thing with me removing paint is that I don't want to move or damage metal, so i have used a combination of paint remover and sanding. Sanding by the way includes using nail files and sticks with sand paper to get into the crevices.
As [MENTION=61707]squirtdad[/MENTION] says it also depends upon the finish that you are going for. I did one bike that I did not sand down to bare metal. I was cutting corners, With primer and more sanding it came out pretty good anyway. On bikes that I want a nice finish on, I get down to bare metal.
Also as [MENTION=61707]squirtdad[/MENTION] points out, you may want to just leave the paint alone. It is only original once. Even though I am good at painting. I don't always refinish it.
When I used to race, there was a guy in the club that was one of the faster members. His bike was rough, he didn't shave his legs, but he was fast.