For the high gloss finish, would the varnish/poly be used in place of the Danish Oil or over top of?
Jake,
If you like the color of Danish Oil but want more gloss than it normally gives you might try something like Waterlox, a Tung Oil variant. You would get the color of the Danish Oil, with the protection of a shell like finish like a varnish. You can build it up over time to whatever kind of thickness you want, and once it is dry buff it with tripoli and white diamond, then finally buff with carnuba or Renaissance Wax. I prefer to apply it with a paper towell while the piece is slowly spinning on the lathe. I like a lighter coat of it resulting in a soft finish rather than a thick gloss, but it will work either way. If you are buffing using the lathe to hold the wheels you might consider changing your belt so you can use the highest speed range. The buffing results tend to be better at higher speeds. Use a light touch and dont linger in one place. You dont want to heat the wood.
I find that Danish Oil can take time to cure depending on conditions. As everyone has already suggested, you may have an uncured layer in there that is affecting the wax. More curing time might help, as well as making sure the piece is drying someplace reasonably warm and dry (lower humidity than I usually run into in my shop.)
Regarding waxes like Carnuba. You usually want to apply very thin coats, especially if your goal is gloss. The technique I have always been shown is to have a buffing wheel dedicated to wax only. Bring it up to speed (3,000 rpm) and then tap the carnuba bar against it briefly. You dont want to load the wax onto the wheel, just a light touch. Then apply the wax to the piece from the spinning wheel. One application of wax will likely cover your entire piece. You also want to keep the touch of the piece against the wheel light. Dont press, dont linger. Move the piece smoothly against the wheel. A thick application of wax generally is generally muddy looking and may even feel waxy. A good wax application is almost undetectable to your hand.
A wax like Rennaisance is usually applied lightly with a paper towell, then buffed on a dedicated wheel. Same technique though.
By the way....if you are buffing with compounds you want to treat them the same way as the wax. A wheel dedicated to one grit...a brief application of the compound bar to the spinning wheel, and then a light touch as you buff your piece. Tripoli first, then white diamond, then finally your wax.
One last thought. You mention making bowls, but dont say what they will be used for? Other than just making a piece look the way you want it to, you might want to use finishes like Danish Oil and Walnut Oil for utility pieces that will be in contact with foods and save the shell finishes like varnish and Poly's for display pieces. The reason being that the shell finishes will develop small cracks over time, trapping food. Over time that will discolor those areas as well as creating a potential bacterial problem with your foods. Correcting it involves stripping the finish...something the pieces owner is not likely to do. An oil finish can be easily renewed by the user, even using something as simple as mineral oil (unscented of course). So as a utility piece dries out from repeated use and washing the owner can easily treat it to keep it looking sweet.
Hope that helps some.
Dave