I use heavy coats of Thunderbird, sprayed or brushed on, to fill and sand with 240 grit(even 150 grit in some cases) until pores are filled. Then 400 grit, steel wool, and finish coat. I rarely use steel wool during the filling and leveling because it's not agressive enough, and too soft to level properly.
There's no need to 'seal' oily woods before applying Thunderbird. It works fine on its own.