I do not remember the grit I used, just start with a fine grit and go to a finer grit. The steel wool should be very fine as well to give a smooth finish. I work linseed oil in with my bare hands to warm the wood and let it work in. Let it dry overnight.
Linseed oil comes either raw or boiled. I use boiled because that is what was available. You can get it as most hardware or discount stores.
I like linseed oil on BP guns because I can periodically refresh the wood with another light application. I have a 1863 Remington "Zouave" musket that has seen over 30 year of use. The brass has a nice patina, much of the blue is gone around the muzzle and nipple and the wooden stock (even though it is beech) has darkened with age. It looks very authentic and still shoots Minie' balls very well.