At first I would keep trying, and sometimes went through sanding and refinishing 3-4 times.
Nowadays unless the blank is expensive, I give up sooner. I have extra tubes and I consider my time more valuable than fighting blanks.
Oily woods were my problem at the beginning. Then I learned two things: First, I can wipe off some of the oil with alcohol or acetone. Second, and more important, some oily woods don't really need much finish at all.