Its been at least thirty years since I was literally immersed in Danish oil finishing when I majored in furniture design at RIT, using Watco on my own projects as well as large commercial projects for my professor, but I learned some amazing properties of oil finishing that many miss because they never go far enough into it. The big revelation came when one of the seniors was final buffing a cherry conference table and the finish was impeccable - looked nearly like a sprayed lacquer finish due to the chatoyance reflecting off the rope figure, and the gloss on the end grain of the 2" thick table. Found out that it was entirely oil finished, and he was buffing the sixth or seventh coat.
So basically the lesson learned (that I personally experienced as well) was that there are dissolved polymers in the oil, that fill pores and harden cells, but require multiple applications before you ever get the "build", which is not on the surface, but IN the wood. So what i am saying, is to apply as many coats with several days drying between each (wet sanding with oil in later coats) as you can, and you'll start to get that deep look.
The nice thing is that later formulations came out like Minwax Antique Oil finish, and evidently Tru-oil, that have higher solids content so you achieve filling / gloss faster with less time / coats. As with all film finishes, you want to let the last coat sit and dry for as long as possible (couple days to a week) in a warm area to fully harden, so that it takes a higher gloss when buffing.
Personally I hate oil finishes on light woods like maple, as it gets that disgusting orange gym floor look, and darkens walnut way too much as mentioned earlier. But Koa, Cherry, etc. are awesome in the way the oil enriches the color.
