You can certainly apply wax over the oil, but I'm not sure if it will give you that much benefit. It may give a smoother surface, but you may find the wax just fills the pores in the mahogany leavinn small cloudy grain marks, whilst adding more overall shine.
I'm less sure about shellac. Its one of those things you can put under almost anything, but I'm not quite sure how well it sits on top of other things. Maybe once the DO is given a month or so to fully cure.
As Danish Oil is similar to TruOil (though Danish oil can be either tung oil or linseed oil based), you should be able to keep adding DO coats in the way people do with TruOil, sanding down from time to time until you've got a flat finish on the guitar which can then be polished. I'm not sure if there is any real benefit in changing finishes now, with the risk of some adverse interaction.
As always, the only real way to be certain is to test it out on some scrap wood - say an offcut from your headstock veneer.