My steps below assume that you also want to clean up the shaft as a whole, and if not you can just follow the same steps but just localized to the area of the dent.
1) I first clean my cue shaft completely of dirt, chalk, oil, etc...
2) I then go over the shaft lightly with a scotch pad.
3) I dip a drop or two of luke-warm water onto the dent and let it soak in for a few minutes, this raises the wood. Don't use exessive amounts of water, just enough to affect the surface of the dent, clean up any excess water with a napkin or towel.
4) Use the towel again to try to soak any excess water from the dent, just dab it, don't rub it. Then take a beer or glass soda bottle, find a smooth spot on the bottle and rub that smooth spot over the dent, rubbing it back and forth with light to moderate pressure... Just like you are sanding. As you rub it with the bottle will generate heat and dry out the wood and the pressure will smooth out the raised wood. If the dent is deep you should feel it reduced, and will have to repeat steps 3 and 4 again.
5) Once all the dents are out, you can use the bottle to go over the entire length of the shaft with moderate pressure, and this will effectively burnish it and close-up the grain. I like it more than burnishing with leather. Again, moderate pressure, you're not trying to kill the wood.
A couple notes...
Learn how to take out dents on a crap cue first, so that you can get a feel for it. It's not hard to take out a dent, but it takes a little bit of time to get a feel for it... Fortunately as pool players we are good at things require a certain touch, so it should come to you quick
With this method I've had a lot of success removing dents, and I do just as well as my friend does with steam. I don't mind steam, but it seems like a lot of work, and as I understand it modern LD shafts use water-based glue which is NOT something you want to expose to steam.
This method does not just spread the dent out, it actually raises out the dent to get rid of it; somtimes it may take 3 or 4 tries for a deeper dent, and then there are some dents which are never coming out because they are too deep, but the glass can at least smooth those out so you don't feel them so much.
You can use a shot glass instead of a bottle. But I noticed that if the glass is too smooth it doesn't work as well, so I prefer bottles as they have really minor irregularites.
Make sure you are not using a part of the bottle/glass that has a seam, is pitted, or has a scratch... This will scratch the shaft wood and will just cause more work. Just find a decent smooth area with no label, paint, or ink and make sure the area is large enough in-case the bottle rotates or moves around.
This will not work if you have a factory coating over your shaft... I've seen some production shafts that have a thin coating of some type, brushed or sprayed on, that blocks out water, dirt, etc... for the purposes of storage and shipping. That coating needs to be removed first, but I think most people who are aware of it usually sand it off when they get their cue. Also, some shafts, like Cuetec, are fiberglass laminated and I seriously doubt this method will ever work on such wrapped shafts.
Remember, whatever method you choose you use first, practice on a crap shaft first.