For years I treated my shafts with pure tung oil (no varnish or poly added). It's a pain in the ass to do, but very effective in protecting the cue. Once the finish hardens, it's slick as glass and highly resistant to dirt and chalk. I later found car wax plus polymers worked nearly as well and took 1/10 the time. I give it this treatment every 3 months or so.
Once it's treated with either method, a wipe with a damp cloth, followed by hard burnishing (a dry paper towel works fine) finishes it off.
More recently, I've been having my shafts treated with Mike Gulyassy's Shaft Freeze. This stuff is great. It lasts a long time (not sure how long, but it's two years on the first shaft I had done, with no sign of wearing off). It's crystal clear, keeps chalk from penetrating the wood's pores and it's slick. I'm very enthusiastic about this stuff.