When I started turning, I used Shellawax liquid friction polish for pens, bottle stoppers, and tops. It put a shiny nice finish on, but I found that it wore off pretty quickly. When I do craft shows, I put a picture frame on my table as a test track for the tops, and I found that after just a couple hours of people trying out the tops, the friction polish wears off the handle.
Again, this was the liquid Shellawax. To apply it, I'd sand my project to 15,000 using micromesh, then put a dab of the friction polish on a paper towel, then turn it onto the project. Keeping the paper towel moving, I would rub back and forth with moderate pressure to get the friction to warm up the polish. It's basically heat activated. It dries quickly and you can build it up in multiple coats.