The first process of finishing is filling, but before you fill any holes you need to know ahead of time what finish you are going to put on your project. If it is to be painted, it really doesn't matter what you use for a filler, if you are going to stain and apply some sort of a clear coat to show off the beauty of the wood, it makes a huge difference. There are a variety of good quality wood fillers on the market that can help cover minor mistakes and defects in the wood. Some of these are stainable fillers, others are not so if you are in doubt - TRY THE FILLER on a piece of scrap wood first to make sure it gives you the finish you need.
If you have any doubts about what you are doing, or simply want understand more about finishing, this book by Michael Dresdner is EXCELLENT, I know, I have it and refer to if often. It will give you a very good grounding on all sorts of finishes, where to use them and how best to apply them. I cannot recommend this book highly enough.
Once you have filled your project the next thing to do is sand. Everyone knows sanding is important, what they fail to explain is that SANDING IS CRITICAL to final look of your project. Always sand with the grain and use finer and finer grits to get the best look. I recommend that you finish the raw wood portion of your project with at least a 320 grit and if it is hardwood, 400 will prepare the wood just a bit better. When the sanding is finished, make sure you clean the wood well before staining by using a tack-cloth.
After the sanding comes the staining, if yoiu want that kind of a look. Like the fillers, there are a number of excellent quality stains on the market. Don't scrip on price here. Generally there are two kinds of stain alcohol or water based. Water based stains and finishes WILL slightly raise the grain of the wood you are working with, depending of course on the type. If you do need to LIGHTLY sand after staining, be very carful you can easily sand right through the stain down to raw wood, so use at least a 400 grit - lightly.
Depending on the project you are making, you may be able simply finish the project with one of the oil finishes >that harden<. like Tung Oil. Not all oil finishes will harden but tung oil once dry after a day or two will become a hard surface, similar to a varnish.
Some woods will benefit from a wood conditioner prior to the stain especially some softwoods. A wood conditioner will often allow the stain to absorb more evenly and will often enhance the grain of the wood because if prevents deep penetration by the stain, particularly in the exposed end grain portions of the wood. One you have your project to this point in the finishing, it's time to relax and prepare for the final coat, which is not going to be covered here. You have a great project to this point, and even partially finished, make sure you follow through by applying the final top coat with the same care and attention you have taken to this point ... do this and you will become a "finisher" too ... not just a woodworker.