Like Jamie I use brushing lacquer on most small items these days. My preference is Qualalacq brushing lacquer thinned about 50% with their proprietary solvent. I make a small amount at a time in baby food jar because it will evaporate in New York minute. I fold up a paper towel, dip it in the solution and quickly rub on an even coat. Then with a new paper towel I switch on the lathe and buff it dry. In between coats I use 4/0 and 6/0 steel wool to remove any raised grain or unevenness. I apply as many coats as it takes to get an even finish. I prefer a satin finish topped with a bit of Renaissance wax.
This is a Macassar ebony box finished in just that manner.