I've never used any finishing product, while a lathe was spinning. But, then again, I ain't a turner.
I've tried many different finishes, for gun stocks .... even tried polyurethane once. Looked like one of those late sixties Remington 1100s. Stripped it and started all over again.
When I was, I think twelve ... could've been eleven ... but I think twelve. I had a Remington 870. It had a scratch 'r two. The sporting goods store / men's clothing and haberdashery, gave me instructions. After removing the old finish, sand it to 220 grit, then take steel wool to it, starting at 0 or 00, working down to 0000. Tack cloth it ... REALLY tack cloth the wood. Then, rub the Tru-Oil in, by hand. Work it in really good. Then, while still wet, with your hands ... slap the piss out of it. Let dry. 0000 steel wool it. Take a rag damp with mineral spirits to it. Let it dry ... slap on another coat ... Steel wool it (with 0000), continue with the process until you're satisfied, coat after coat after coat.
I've tried, on gunstocks, whether restoring a junked out Winchester 97 or 12 (the bad oil stains come out, using the bucket of bleach routine), or newly made, carved from blanks of Circassian Walnut Burl (today's price, about two large a blank) .... many different methods. The best, for me, that I have ever encountered is Tru-Oil.
Forkin' stuff's amazing.