I'm not sure of how you do it on a cue, but here is my take as a gunmaker. Just for a reference, here are a couple of my stocks:
Almost all high end custom guns use some sort of oil finish.
Here is the process as my dad (Darwin Hensley) taught me. He is a very well know gun stock maker, appearing in over 60 magazines and 5 books. Can you here the "I'm proud to be his son" coming through?
We use Daly's brand teak oil. Note that this will in most cases make the wood a darker/deeper color. We like it but it may not be what you want.
Sand the wood down to 220.
At 320, sand using the oil to wet the wood and keep it wet while doing so. Leave the sludge to dry on the wood for this first sanding. This fills and seals the pores of the wood. Some use a sanding sealer but in my experiance, this often leaves the beautiful wood a bit washed out as it seems to blur the sharp edges of the grain patterns. The only time to use one IMO is if you don't want the wood any darker than it is.
With each progressive sanding, be sure to get out all of the scratches from the previous grit as you would with your other finishes. We let the finish fully dry between coats (typically overnight).
Then wet sand with 400 and wipe off the excess
unless the pores are not totally filled, if not, leave the sludge on until the next sanding.
We then progress this way using 600, 1000, 2000 and then polish out using rotten stone and the oil on a clean cotton rag (T-shirt material).
Done right it is really nice but it takes
a lot longer than spray finishes. If you want a shiny finish, you hand run in additional coats until it has the build up you want. This can be 20+ coats in some cases. The finish is a great look and feel. You just have to be willing to take your time. I think this is the real reason you don't see it on many cues. It is not a "cost effective" way to apply a finish. Especially not on a sneaky pete IMHO. Although I guess on a sneaky in some cases you are not looking for a real finish as much as a protective seal on the wood. Don't know...
Oh and by the way,
I won't let steel wool anywhere near my finishes. It may have just been a unique experience but I can say that steel wool can leave small amounts of steel fibers in the pores of the wood. If all conditions are right or wrong depending on how you look at it, these micro fibers of steel can rust and cause a nice looking job to look really bad. When they don't rust, in just the right light you will see a sparkle somewhere in your finish and not the kind you want.
I'm not professing to be a skilled CM but I can tell you we have perfected a really nice oil finish....
For a cue, since you can do the sanding under power, you might be able to skip a few of these sanding grits and go to the finer stuff more quickly. With all the details we put on guns, we simply can't do it that way. Too bad though as it would make life a whole lot easier.
Hope this helps,
Trez Hensley