Just Danish oil, or something on top?

Welcome to LumberJocks, AESamuel.

First, wax offers absolutely no protection. Wax gives a nice silky feel to a piece and can make future cleanings a bit easier, but does not protect at all.

As to something that adds more protection - how much do you need? Danish oil has a small varnish component, so it does build a thin film. But a straight varnish, shellac, lacquer or polyurethane will build a thicker film and offer more protection.

It would be better to forego the Danish oil if you are planning on topcoating it with varnish, lacquer or poly. Shellac is OK on top.

If you are using a tinted Danish oil to achieve a certain color, you can replace that with a wood stain, followed by a topcoat. On the other hand, if you are using the clear (natural) Danish oil to achieve that oiled look, you could substitute with a pure oil like tung oil, boiled linseed oil or even walnut oil. (Avoid anything labelled "teak" oil) After it is completely dry, you can topcoat.

AE, Mark has provided some good info and he is more knowledgeable than I am. That said, I use Danish oil for small boxes, etc. to pop the grain. After it has dried a few days, I use 3-4 coats of rattle can lacquer for the sheen and finally a coat of wax for the tactile benefit it provides. FWIW

Great, thanks a lot for the information!

I picked up a Sapele offcut for £2 and I saw online someone put a single coat of danish oil on his Sapele. Then he put a coat of spray lacquer on as you said, Art, and I think I'm going to go for that with this project!