The chestnut site does have useful information, if you click on various options (perhaos not as intuitive as some sites) you get loads of helpful leaflets and 'finishing school' videos which are useful when you are starting out.
I rather like woodwax 22, it gives a very nice shine, a softer look than spray finishes but deep and rich. I use it on things that will be looked at rather than regularly handled, and agree that microcrystalline is better for fingerprint protection.
The advantage of true grit and similar is the absence of dust as you do the final 'sanding', you can follow it with an oil or wax but I don't think its really practical to follow it with a spray or varnish. Some say you can if you carefully clean the true grit carrier waxes off with spirit, but I'm not convinced, always risk of residue deep in the grain. You might as well stick with conventional abrasive if that's your plan.
A lot of oils and some waxes cure over time, they might seem 'dry' after 10 minutes but they do harden some more in a few days. If you can leave a few days between coats of (particularly) oil you will get better results and less chance of a horrid gloopy mess as 'coat 2' dissolves 'coat 1' . Been there, done that