Pics?
Generally, you would want to sand in progressively-finer grits...from 8o through maybe 220 or even 320. Assuming that the wood is already mostly "there", I'd start with 180 then use 220 and end with 320.
Staining, and then applying a finishing coat would be next, but it's hard to give instruction with that because it's TOTALLY dependent upon which materials you want to use. You may want to consider an all-in-one solution, such as
Minwax Polyshades or something similar from another brand. Matter of fact, the
Minwax site itself has lots of tips and techniques for wood finishing.
If you DO like the color and look of it as it is, I would probably just apply a clear polyurethane (even water-based for easy cleanup). That would give it good protection and be one of the more "transparent" finishes you could choose.
