This it the tru oil process that I follow and was given to me by a master of the process on this forum:

After an initial deep soak coat, I put on about 6-10 thin coats of TO to begin with. At this stage the finish is starting to thicken and get shiny. I then start wet sanding, usually with 400 grit. It depends on how low you went with your initial sanding - typically I use one step above my final sanding grade. Anyway lets say 400. I do a light wet sand with 400 - not enough to go through the layer! and then put 3 more coats on. Repeat with 400. Basically you keep doing this, going up the grades. I have no definitive answer to when you step up the paper, but I go by feel - you can feel the whole thing getting smoother. I go typically 400, 600, 800, 1200, 1500, 2000 - with at least 2 coats in between each wet sand. At around 1200 grit you'll find that TO in its normal form will stop laying down flat and will leave streaks and ridges from wiping on. That's when I start to thin it 50/50 with turps. You can get a smooth layer again, but the layers are even thinner! After 2000 grit you can add a final couple of layers TO and then polish with compound. Just be very careful not to polish through the layer. I do find that getting that *last* nice layer of TO is a challenge even with the thinning. A couple of tries with wet sanding is usually required.