Bryan,
Cocobolo actually finishes very nicely just by itself. If you use MicroMesh, by the time you're done the oils from the wood will make it VERY shiny. However, if you want to protect it, you can add a "traditional" finish. I have used BLO/CA many times, and have only had one problem. The problem came before I knew to wipe the turned and sanded blanks down with DNA before applying the CA.