its not as necessary with tru-oil alone but with the danish oil finish it locks it all in a bit better - it depends on the wood you are finishing. i have some macasser ebony for necks in at the moment and that wont need any finish at all!!
anyway danish oil & wax:
1. liberal coat of oil, leave 5 minutes, wipe off the excess
2. leave 24 hours
3. wetsand with the oil (pour some oil on the paper and sand with it) and 600+ grit finishing paper
4. wipe off the excess and repeat going up to about 1500 grit
5. leave 24 hours and repeat as necessary
that leaves it feeling really, really smooth but it wont last like that for ever so adding bri wax with 0000 wire wool keeps it smooth for longer, still needs re applying every so often
i follow a similar process with tru-oil but leave it a few days, dont use any wax and finish off with a rub down with the wire wool as suggested by jonathan. it still needs a bit of maintenance but not as often as the danish oil
http://www.thegunshop.co.uk/casey.htmthe good thing about both is that they will need less care as the years go on, they develop a wonderfull natural patina
on the dye and oil thing i think nolly's (iirc) blackmachine is a dyed maple + oil finish