The thing-a-ma-jigs that Dan referred to are either jumprings or bails. I usually call jump rings doohickies and bails thingamabobs.
Both pieces can be found in the jewelry section of craft stores. If you want to be technical you can ask for the jewelry findings section. All of the bits and pieces are called finding.
Bails come in a bunch of types. Glue on bails can be glued to a piece of wood. Pinch bails have a pin that pinches a hole in the piece of wood. The nice thing about bails is that they make attaching a chain really easy.
Jump rings are simply small metal rings. Bend them open then attach them to the pendant and to the chain.
As for a finish. . .
Polyurethane is really durable, but once it starts to wear off it is really noticeable. Waxes and oils don't last as long, but as they wear off they don't get patchy they just fade.
Some people really like the shiny look and feel of a gloss poly, others think it looks and feels plasticy and icky. Most guys prefer less shiny and women can't be predicted.
If you are carving or scrolling lots of holes in the necklace I would use a spray finish and avoid wax.
Types of wood. . .
Almost any hardwood will work well.
Oak is fairly opened grained and in thin pieces will break easily. Try to orient the grain so that you have extra strength along the long pieces.
When I am working with a new wood type, or something I don't recognize, I often will cut a thin piece and break it. It gives an idea of how much force a piece will with stand, and then I can modify the patterns that I want to cut.
Pine and cedar are soft woods and don't hold up very well to use and abuse of daily wear.
