Correct most oils require to penetrate into the wood surface, both to add 'life' to the wood, prevent moisture absorption and provide the surface sheen required.
Some 'oil' blends have more hard waxes etc, more on to the road of a Varnish and will form a skin over the top of a sealer but then may not have the robustness of finish as when used on bare wood because they will not have the in depth key and may peel off as a skin with wear if they are not bonded well to the sealer.
If you use a "Hard Wax" oil as a sealer and then build up the sheen level required by extra coats then you have the best of both worlds in my experience.
Never leave surplus unabsorbed oil on the piece more than a few minutes else you can end up with a sticky mess of un-cured deposits.
Sanding sealer followed by wax is fine, soft wax blends are OK for items not subject to a great deal of handling or moisture splashes, mainly because they are nearly all based on Bees wax which melts at hand warmth temperature and will dull rather quickly. Hard waxes based on Carnauba are far better at resisting handling because they have a higher melting point but do need a little more friction heat generation to apply. Micro-crystalline wax although supplied as a soft paste is also a much higher melting point and resists handling and moisture splashes, applied very sparingly and given a few minutes for solvents to disperse it buffs up to a high gloss with ease.
That's my take on the subject, using the finishes as an amateur turner, no doubt there will be half a dozen differing views and experiences, pet methods etc. coming forth, like most subjects you read the proffered views and takes your pick, then by trial and error end up with the method and finish you prefer and maybe over time feel confident enough to voice your own opinion.
