Phil, here's a great description of how to work with Danish oil, including wet sanding (only the section on oil finishes applies to you):
https://www.popularwoodworking.com/a...a_great_finish
This method is different from what I have done, but actually seems even easier and less time consuming. Follow these directions carefully and you should get an excellent result. They even reference European grades of sandpaper, which will help you get the right stuff.
He gives some good advice on letting the coats cure overnight, and not following the directions on some cans that say you can reapply within an hour.
Good luck!