Janet -
I buy Old English Lemon Oil at Target. It is basically a furniture polish. It will dry away completely in a short while. You will still need to use some king of finish to seal your work. I use spray-on varnish, usually satin, because it dries so quickly. Poly takes a long time to dry and I am a bit impatient. There are oils such as Danish Oil that will seal when they dry, but it does take a while. You can aways leave things natural which I do with most toys and puzzles. The Lemon Oil will make it look nice and give you an idea how it will look finished, but it evaporates in a relatively short time, if left alone.
Barry