Hi Luca,
I didn't try the scotchbrite wheel, but I did use a small sanding drum in my die grinder. I thought it turned awfully fast and had a tendency to "melt" the plexi if not teasing the trigger. It also didn't really leave a smooth finish, but perhaps the scotchbrite wheel does? Also, because it is round, it makes it a little harder to get a perfect edge without ripples (because the roundness wants to sand a round "divot" in the edge if you're not careful and constantly moving it along).
What I found best was to carefully knock down any bigger ridges with the sanding drum, and then use the scraper I got from Avery to smooth and round the edges. That left it pretty much done. If you want an amazing finish, wet a strip of 400 grit sandpaper and sand away like a shoeshine boy on the edge and you'll be pretty much able to "see through" the edge. It doesn't take much after the scraper.
Here is Avery's scraper...
http://www.averytools.com/p-410-plexiglass-edge-scraper.aspx