Some folks like to raise the grain on walnut before finish is applied, but I only do it if I am using a hard finish like Tru Oil that fills the pores in the wood. (To do that you wet the stock with clean water after you finish sanding, let it dry, then repeat the sanding with the finest grit you used.) Some like the effect with oil finishes though.
For tung oil or linseed oil, you have to sand to at least 220grit, even finer for fancy or highly figured woods. Before applying oil completely clean all of the sawdust off of the wood. Compressed air is best. You need to let each coat sink in until the surface is completely dry, time varies with the density and porosity of the wood, sometimes as much as 24hrs with later coats. Then you can go over with 0000 steel wool and again completely clean the surface before the next coat goes on. How many coats depends on the wood, your patience, and how much time you want to spend. I like at least three and will often use five or six. Let the last coat dry at least 24hrs before waxing it and let the wax sit on it for an hour or so before buffing it out.