When I got down to 320 grit on my Wenge pens, I sanded 320, then 400, then 600, with Danish Oil... wiping with T-shirt between grits, at high speed. Then used brown paper sack til fully dry, then CA, then micromesh... worked well... filled the pores...no splinters...
After 6 or 8 coats of CA, it was too gorgeous for a lady to leave it... she bought it for her better half...