Sounds like what I'd be expecting
before you polish off the last bit of residue. There's no way it should be any
less shiny than it was before you started.
It should polish up nicely with just a clean soft cloth. You
could try a bit of furniture polish to get rid of the last of the residue, but I've read that it's best to use a wax-free, silicone-free type. I'm not sure
exactly why, but apparently both wax and silicone can build up over time. Silicone, in particular, is very difficult to remove and can cause problems if the guitar ever needs a refinish.
There are some wax-free, silicone-free furniture polishes, e.g.
http://www.spacesavers.com/furnpolish.htmlOr you could get some proper guitar polish like this stuff:
http://www.stewmac.com/shop/Accessories/Cleaners,_polishes,_lubricants/Preservation_Polish.html