Here's the method I've used on fine walnut stocks- though it can be used on any wood, really. The text and photo are from my airgun blog, http://airgunner.org:
--------------------------------There are two ways to finish a gunstock: The quick way is to get some spray cans of urethane finish, spray a couple coats on the sanded stock, and you’re done. You’ll have a waterproof, utility finish that’s fine for (say) a cheap gun with a mystery-wood stock. But if you’re paying $180 or so for a nice wood stock, why not spend a few days doing a hand-rubbed oil finish? Here’s a method I’ve used on airguns, muzzleloader kits, restored .22s and a much-abused 1815 English muzzleloader:
Start by carefully sanding the shaped stock with 120, 180, 220 and 320 grit paper, in that order. Use a soft sanding block or sponge to help insure a smooth surface- using your fingers alone in the early stages almost guarentees a wavy surface. When you’re satisfied that the wood is as smooth as you can make it, it’s time to seal the stock.
For many years I used Birchwood Casey Tru Oil and Lin-Speed for finishing; both are a mix of tung oil, linseed oil, and metallic dryers that speed curing. But during a home remodeling project seven years ago, I discovered Waterlox wood finish. It’s a similar product, with a somewhat slower cure time, that produces an excellent finish and comes in quarts and gallons, and not just tiny expensive bottles; handy if you’re planning on doing more than one project. Any of these products, or any similar product, will work fine.
Start by thinning a small amount of your finish 2:1 with mineral spirits- use more mineral spirits if the finish you’re using is thick. This will be used for sealing the stock. Brush on the thinned finish, saturating the stock, recoating any areas that look dry. Repeat this until the stcok won’t take any more finish. Then, wipe the surface dry and hang the stock up to dry overnight. Repeat the process the following day.
Now it’s time for wet sanding. You’ll need 320, 400 and 600 grit wet-or-dry paper, cut into small (say, 2' square) pieces. Starting with the 320 grit, dip the paper in some unthinned finish, and sand the entire stock, using small circular movements. You’ll notice a sort of “mud” building up. This is a mixture of finish and fine wood particles that will be used to fill the grain. Work a small area at a time; after you’ve done an area, you can work the mud into the grain with the heel of your hand, and gently wipe across the grain to remove excess.
Let the finish harden for a day or more, and repeat with 400 grit paper, and then with 600 grit. Don’t move on to the next grit until you’ve filled the stock as well as you can with the grit you’re using. Some people can do this in as few as 4 sandings; I usually do 6 or more. The drying takes time, but each sanding only takes perhaps a half hour or so, depending on the size and complexity of the stock, so the actual time involved isn’t much.
Eventually you’ll have a nice finish as seen in the photo above. At that point, you can give it a further polish with rottenstone and oil, or a product like Birchwood-Casey Gunstock rubbing compound.