Willis64 covered it all very nicely.
After initial sanding, I soak the unoiled stock with a coat or two of highly diluted Tru-Oil in Paint thinner to drive the oil deep into the wood, and allow this to cure for a week or so before beginning the actual fill/finishing process
I also tend to take more time between coats, there's a difference between dry and cured. Again, this is just a matter of preference; I find that curing between coats makes for a more durable finish and speeds the final curing.
I use a large cotton bore cleaning patch as an applicator, with a drop or three of the Birchwood Casey Tru-Oil. I rub it on and in until it's spread good and thin, then buff the surface with a soft cotton cloth to remove all the unabsorbed Tru-Oil. A few days and the finish is hard and ready for more, if that's what you want. Back in the day. I would do the polishing with the heel of my hand, allowing the heat of friction to better drive the oil deep into the finish; but lately I find that my hand does not like that technique anymore.
The key to a superior finish is that it is in the wood, and not on it. We are toughening up the outer layers of the wood itself, rather than building up a coating atop it. This is the difference between a traditional finish and the more recent slap-it-on, dry it overnight and box it process.
Every two or three coats, I cut it back down to the wood with steel wool to prevent buildup. Special care is taken to prevent rounding off any crisp lines in the stock's styling. Only my my final coat is left uncut; or if it's on a service rifle I leave that last glossy coat off for a satin finish with lower reflectivity.
The reference about the synthetic steel wool is a lesson for me; I learned an important thing from the previous post, thanks plenty.
The main point about an oil finish is that is reparable. Finishes like Urethane and Epoxies need to be completely stripped, they are excessively difficult to do a spot repair without it showing. An oil finish can be spot restored with steel wool and replacement of the removed oil.
Some deeper wounds can be filled with a 'mud' method, that employs 120 grit sandpaper, wet sanded using Tru-Oil for the 'wet'. Sand continuously, adding small portions of Tru-Oil until a puddle of 'mud' consisting of oil and stock material covers the entire wound. Allow this to completely cure, I leave it for a week or so. I then sand it down even with the surrounding area. If the wound is filled, finish it off the same as one would any undamaged spot on the stock. If evidence of the wound is still present, 'remud' and cut it back down after curing with the same 120 grit grade of sandpaper.
Periodically, I do a quick wipe/buff down of the finish with paint thinner, to remove possible oxidation buildup and imbedded dirt. I follow this up with a repetition of the final coat in the finishing process. This renews the finish and keeps it looking optimal. This can be easily accomplished with an oil finish, I've never tried it with other finishing materials.
Greg