I've found that with oils if you really want them to shine (especially like CA) then you better be prepared to do many, many coats and to do them correctly. I have done the following process on a couple knife handles and they turned out great, but boy did it take a while. By the way, this is also how I do my gunstocks...
Choose your oil, I prefer tru-oil or minwax antique oil. Apply a liberal amount of oil to the handle and *sand with 400-600 grit paper until you get a "slurry" of fine dust and oil.* Let the oil start to dry, at room temperature, for 10-15 minutes and then wipe with a clean rag to remove excess oil. Let your knife dry for 24 hours and repeat this step 2-3 more times (*optional step, not recommended for highly figured burls, it is to seal your grain when needed).
After all your grain is filled continue to apply 1 coat/day, letting the oil sit for 10-15 minutes and wiping off with a clean rag. After the oil sits for 24 hours buff with 0000 steel wool until you get an even "muddy" look to the handle, wipe/blow all the dust off and that's when you reapply the oil. Continue this process for 3-15 coats (not a typo) until you're happy with the finish. Key step - now let the handle "cure" for 3-5 days and burnish the handle with a piece of stiff canvas or burlap (rub vigorously to make until you see the finish start to really shine). Now you have a very durable finish that is fairly easy to touch up and will last a long, long time. And it better considering how long it took you to do it! By the way, there's a tutorial of stock finishing over at
the high road that is very similar to what I do but is written a million times better...
My typical procedure is to do 2-4 coats of tru-oil (or minwax antique, or BLO or teak, depending on the type of wood), let sit for 3 days and burnish and if I want a little something extra then I'll buff it with a 50/50 mix of beeswax and neatsfoot oil being careful not to buff too firmly and cloud my finish. I know some guys will dip their handle in melted beeswax/neatsfoot and let the wax dry on the handle for a day and then wipe off the excess before hitting the buffer and they swear the added heat from the melted wax really helps with the finish but I've never tried it that way.