I've used it for small projects or to seal wood prior to putting a different finish over the bare wood.
There are other methods, but the 'cleanest' method that I've found is to use some wax paper wrapped around my finger. I put a dab on the wood and quickly smear it around with my finger. Be sure to hold it reasonably away from your face when applying it. The fumes are supposed to be harmful - but also if you breath on the wet glue it will develop a milky color that is impossible to reverse until you sand it off.
As is the case with many things, take your time and it will turn out well. Thinner is better if you don't like to sand...
I recommend some trial runs on scraps of wood.
If you check out some knife making forums you'll read more on the topic.