I don't have a ton of experience with Wenge, but have tried a few handles out of it. I really liked the look of it, but those pores pretty much drove me nuts... I think taking the sanding to a fairly high finish can help a bit. If you try to finish it out with a buffer and some wax, it can fill in those little pores and look fairly lousy.
I think I saw another guy use it on a knife and he did a super glue finish, which would close up those pores, then you could sand and re-apply if needed.
Good luck with the knives and post pics.
Jeremy