I'd say that a CA finish would help a lot. If you put enough coats of CA to fill the grain, any splinters will be covered with CA and will be unable to catch on anything.
I'm not sure if this is common knowledge here, but might I recommend bleaching it before finishing it? A friend showed me a wenge pen he bleached and I thought it looked amazing! Just a thought.
Also a Lacquer Sanding Sealer helps fill in the gigantic grain pores, then you can CA over that, Mylands sanding sealer is good stuff for woods like that or Padauk. Not the polish just the sanding sealer, not sure if any box stores carry lacquer or shellac based sealers though.
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...
Here is the first pen I made from wenge. I did soak it with thin CA a couple of times to ease the splintering. To finish, I simple sanded to 600, and then tripoli buffed. The natural oil in the wood allowed for a really nice shine.
I would normally use a CA finish (if it happens to be working for me) but this was really nice as it was; so I left it.