da is correct. When doing an oil finish, you don't want that sanding sealer underneath the oil since all it does is prevent the oil finish from penetrating the wood. Basically it turns your oil finish into a high-build varnish...it will just build up on the surface of the wood instead of soaking in, which is the advantage of using an oil finish to begin with.
As da posted, wet-sand as you're applying the Tru-Oil (or whatever oil finish you're using) to make your own "filler" with oil and wood dust slurry. Once the pores are filled, set the wood aside to let it dry...and yes it'll take a few days. I usually wait a full week between coats at room temp. Some guys will accelerate the drying process but I don't like to to that since I don't have a nice heat/humidity controlled drying room to work with.
After this step, if you've got any pores that aren't filled, repeat with the same grit. If just a few small voids, then you can move onto a finer grit.
Next step is to repeat the oil/wet-sand process with a finer grit or with fine steel wool.
I personally like to finish wet-sanding with up to 600 or 800 grit before I move onto a 4/0 (0000) steel wool.
The very last step that I do after I've got a nice smooth oil finish is a wax-type top-coat finish. http://sport.birchwoodcasey.com/Fini...6-5fe9175b5e9b
is the product in the Birchwood Casey line, but the one that I use is good old-fashioned floor wax like Johnson's Paste Wax
(NOT their one-step wax).
The waiting between coats to ensure the oil has had time to fully cure is the key
to applying an oil finish...and is one of the main reasons that you don't see oil used as a primary finish as much any more. Varnish is faster and easier to apply.