First I tried a wax product made for lathes. It looks like a semi sweet chocolate bar, and you rub it on the project as it's spinning, then buff it down with 0000 steel wool. I didn't care for the glossy sheen it had. I'm more of a satin finish kinda guy (no bling bling), so I went back to my tried and true 5 coats of hand buffed lacquer.
It is nice to be able to sand the piece on the lathe though, and you can get a pretty good finish, but I still think a little hand sanding with the direction of the grain is needed for a museum quality finish.