Depends a bit on which of the many "cedars" you're using. Eastern white and western red/Port Orford are indeed thirsty stuff. Eastern red, or "aromatic," the stuff of cedar chests, burnishes so well with its own oils it almost seems a shame to sand and finish it.
The thing you have to remember is that turpentine, a solvent for most oil-based finishes, comes from conifers. Around knots and from pitch pickets, a lot can come out. So much that it will lift the finish right off. That's why using something without a common solvent like lacquer or shellac is recommended either as a finish of its own, or a sealer. It's not soluble in terpenes.
I use shellac, and it sticks well, even around knots.