Unless the cocobollo has been air drying for SEVERAL years, and even then, it can crack when the wind blows if subjected to rapid temp or humidity changes.
A good way to fill it, is when you are sanding (and wearing your mask of course) save some of the fine powder that lands on the lathe bed. If the cracks are hairline, you can just use thin superglue to fill them. What I normally do is mask off the area with masking tape (the blue kind that doesn't grip well) so it doesn't flow all over the place, and let the glue slowly follow the crack via capillary action.
If it is bigger, tape the inside of the crack, then use a thicker glue and lay the powdered wood on top of it and maybe force some into the crack with a toothpick.
Fixing with glue can sometimes interfere with the adhesion of some types of finishes. If you are using wax or just polishing, it will be no problem. Oils not much problem, but I have found laquers to be a bit of an issue of late.