You can use a saw ( either a jewelers saw or a cut off wheel in a
flexshaft) to first cut a channel where you want it. Follow that up
with either a rattail file of a suitable bur (krause or bud or
conical) held at a very shallow angle, so it won't want to jump out
of the groove.
You ask about holding it in a vise. My preference, especially with a
bur, is to hand hold the piece. A bur will tend to chatter when the
piece has no 'give'.
You used a belt sander, how big an object are you making?