hi Chris, i just take it to 400 grit, then wipe with alchohol. WHen you do this the grain will raise a bit, go back over with 400, I do this a few times.
Then wet sand with 400 and either boiled linseed oil, or Watco danish oil, this will help fill the pores and give a smooth finish.
I then start the process with True Oil, I use the Formby brand, high gloss.
After rubbing each coat in I lightly buff with 0000 steel wool. Usually after 3 or 4 coats you will have a nice finish. After you get it sealed and it wont soak up any more, put the very last coat on VERY light. After it dries hand buff with some minwax, renwax etc.
Its hard to get a good pic, but here is some Curly Maple using the above method.