I would sand stepping up to 220 grit, then prestain, then use one coat of whatever oil stain you are using. As to before or after you burn/cut, depends on what you are doing.
Polyurethane when dries, it has a yellowish sheen to it, works well in protecting. I like it, complements lighter stains, but not noticeable when doing darker stains.
Using Tung or Danish Oil, just apply it once or twice, then wipe off the excess and let it dry, works out well. I use it for items like coffee tables or old vintage pieces which should be out of denser woods, I also use Polishing Wax here and there.
Best thing is trial and error and have fun while doing it.