As far as I know, a good surface finish is what's served mankind for a long time, often with good results, before the advent of impregnating things with other things. But APPROPRIATE materials is the key phrase here. As in, some woods are better than others - I'm referring to timbers that have inherent stability / water resistance, etc.
Having said that many surface finishes do actually penetrate the surface to a certain degree and what seals the wood is not so much like a painted-on finish, but one that is IN the surface as whv suggested.
The oil finishes do actually penetrate, heat can help the absorption. Use a heat gun, but be careful not to destroy the wood. If you use a slow-set superglue, it too will penetrate a bit before it cures. But the penetration we are talking of is in the order of 1mm or so at the surface. When applying such a finish, the Danish oil that is "useful" is what gets absorbed. Any excess (including whatever is on the surface of the pins) would be wiped off as the manufacturers instructions tell you to do. In such a situation, the finish would in fact be flush with the surface.
The surface preparation is crucial. I only do the Danish oil finish as the very final step. The surface is already taken to the finest grit I can use - 1500 is my favourite. I suggest then NOT burnishing the surface with steel wool as I (theoretically) believe that it would seal the surface and prevent absorption. I would coat the surface with oil, let it sit for a while to sink in. +/- help along with some heat. THEN I would rub the oil in WITH the steel wool, then wipe off the excess. Allow to cure (at least 6-8hours in the local weather), then shoeshine with a clean cotton cloth - stand back and admire. The Danish oil can take up to a full week to completely cure to its proper hardness and may benefit from another shoe-shine at that time, but it is already "workable" at 6-8hours.
Sorry for the long post, but I thought I'd share with you my method. In the end, I'm a lazy booger and I end up shelling out 4x the cost for a nice piece of stabilised wood.
Jason.