One of the guys in our turning club soaks all his big items in a tub of a custom mixed oil (I can't remember exactly what his formula is, I know that boiled linseed oil was only 40%, something else 40% and another 20%), for three to five days, then takes them out, wipes them off, and then puts on his finish coats. The only draw back to this, is that the wood tends to darken more than just lots and lots of coats of finishing oil.
I use shellac to try and seal the open grain, then apply the oil over the shellac - it does work. For lacquer finishes, I use cellulose sanding sealer first.
Before I tried these, I was putting on up over 10 coats the Liberon, drenching the open grain areas.
Cheers,