It's ok to use sanding sealer, which is basically just thinned shellac. But do so as the first step, not the last. Or you can start with whatever sort of magic juice you want to use - I've used BLO or thinned lacquer - as long as it is compatible with the final finish. Shellac works with every other type of finish, and is also very easy to sand away. That's why I prefer to use it as a sanding sealer.
Sand the turning down to about 150 grit, making sure all of the torn grain, ridges, compression marks, and turning grooves are all gone. Then apply sanding sealer. It will reveal all of the problems that your earlier attempt at sanding did not resolve. Re-sand to correct and reapply sanding sealer. Once you are happy with the result, sand away the sanding sealer, working through the grits from 150 to perhaps 500 grit maximum. At that point you are down to what looks like bare wood with a very smooth surface. Stop sanding at this point unless you have a real need for perfection.
The next step is up to your personal preferences and your need for a durable protective finish. I like a semi-gloss to matte surface, so I prefer to flood the prepared surface with Tung oil, wait 30 minutes, and wipe off all excess. I then wait a day, repeat, wait a day, and repeat. At this point the wood generally will not take up any more oil. I then wait about a week until the Tung oil has fully hardened, and then buff using tripoli buffing compound, then white diamond, and then carnauba wax.
If I need a more durable finish, I sometimes use sprayed shellac or rubbed-on Shine Juice (1:1:1 mix of Shellac, Denatured Alcohol, and BLO). If I need a hard and glossy surface, I use sprayed or thinned brushing lacquer. I apply the finish multiple times until I have built up a film finish, which I then buff out as described above.
Don't forget to sign and date the bottom of your piece when you are done. Engraving pens work great for this.