You're going to notice pretty quickly that black crud starts forming on the tip of your soldering iron. Not only is this nasty looking, but it also terribly impedes the heat transfer from your iron to the component, making soldering much more difficult.
Usually, just adding some solder to the tip then wiping the iron across the sponge does the trick, but sometimes the crud can get baked on there so thick that the only way to get it off is with sandpaper. You want a very fine grit, like 300 or higher. A sanding sponge is even easier to use because it the tip of the iron is so small.
Then have at it!
INSERT IMAGE OF BAKED ON CRUD
INSERT IMAGE OF SAND PAPER / SANDING SPONGE
INSERT IMAGE OF SANDING THE VERY TIP OF THE IRON
INSERT IMAGE OF CLEAN IRON AFTERWARDS
Your iron will be good as new and be much better performing.
