Some of the most exotic and colourful species of wood are often the most dificult to finish. These include jatoba, rosewood, teak, ebony, paduk and cocobolo (there are others that go here as well). By nature these woods are high in natural oil content and need to be finished diferent than your average peice of pine or maple. Always test your finish schedule before finishing a project of exotic wood.
When you are ready to begin the finishing process you need to first select the method that you intend to use. There are a number of finishes that work well on oily woods, these include; shellac, natural resin varnishes, tung oil, some waterborne coatings, some stinky 2 part coatings and wax. Urethane, polyurethane and other man made finishes may have difficulty sticking to the surface for more than a year or two.
Once you have selected the finishing methods then you can prep the wood prior to applying the finish. Use a cotton cloth and some denatured alcohol to clean the surface after you are done sanding. You don't want to soak it down just wipe it off evenly to remove any surface oils that could interfere with the application of the finish.
For a shellac finish you should start off with a 1lb cut and do 2 light coats. Allow each coat to dry completely before applying the next. After this move to a 2lb cut and apply 4-6 more light coats, sand gently between every second coat with 400g. Once finished you can use an abralon pad (2000g) to polish it (or wet sand 1500) and then apply a coat or two of a good natural wax.
For a varnish or tung oil finish apply 2 light coats thinned down 35-50% allowing it to dry completely between each coat. Evaluate the coating for adhesion and then give it a light sand. Apply 1-4 more coats (depending on how thick you want the finish) observing the dry time bewteen each coat. Once dry let it cure for 2-3 days and then rub it out to the desired sheen.
For a waterbased finish you will need to use an equivilant to Target's EM8800 Universal sealer or Ultraseal Shellac (waterborne) for the first two coats (a coat or 2 of Targets WR400 Clear Stain first really pops the grain). Gently sand the item with 400g and follow up with your choice of waterborne top coats. For various applications you could use anything from waterborne lacquer to conversion varnish..
Using stinky two part products is a considerable amount more dificult. You will need to consult specific manufacturers in this regard and as always test the finishing system before using it on the project. Many 2 part coatings will give the illusion of adhesion as they for a very strong outer shell but don't actally stick to the wood all that well.
For a wax finish select the natural wax you like best. Wipe the project down with denatured alcohol and then apply 2 coats of your wax. This is not a tough finish and wont last very long. The adhesion might not be all that great either but it is very easy to re-finish and requires no spray skills or stinky chemicals..