I do this for a living and I can tell you, skip the sandpaper and use chemical stripper to remove all of the modern finish (varnish/polyurethane) because if you don't it'll come back to haunt you. Get all the junk off them then whisker & burnish before trying to apply oil. The species of wood as well as the characteristics of the particular piece of wood you have, and it may differ considerably from one side to the other since production gun builders don't care about using wood from the same piece for both grips as custom builders do, will determine the manner in which oil will be applied. Linseed comes in "raw" and "boiled", trust me...unless you want to turn this into a project that lasts a year, if you really want to use linseed get the boiled stuff. Tung oil is far better than linseed but also more difficult to work with because too much will considerably darken the wood and it'll take forever and a day to dry. You could go with Birchwood-Casey Linspeed oil but I don't like it - it's too sticky to allow for laying on the very thin coats desired to obtain a true hand-rubbed finish and it dries way too shiny which is fine if you like the polyurethane look... If the grain is open on the wood you have, you must start by filling & sealing it first (with the oil, not a modern filler) otherwise you'll end up with an orange peel look no matter how many coats you put on.
There are manners of changing base oil properties by combining different oils like stillingia, veronia, dammar, poppyseed... and additives to the base oil like rosin, asphalitic extracts, lead acetate and so forth. Oils can be reprocessed alone as well in order to obtain specific properties or coloring. While you will find internet folks willing to give out "how to" info, most of these processes emit toxic fumes and are quite dangerous. A seemingly simple boiling operation can turn to an explosion and fire in a heartbeat just as a simple additive blending operation can get you a free ride to the emergency room or to a grassy field under a stone marker. My advice - if you don't have the proper training and equipment to perform these operations under tightly controlled laboratory conditions - DON'T!!! Choose your oil from the hardware/paint store selection and use it only as per the directions on the container.
Avoid using steel wool on oil finishes. It's far too easy to have little pieces of steel remain behind as the pillow breaks down and those little pieces will remain invisible to the naked eye until they start oxidizing in the finish leaving little rusty marks all through it. Do your rubbing with 100% tight weave muslin and smoothing with light or abrasive-free non-woven pads.
"Carry the battle to them. Don't let them bring it to you. Put them on the defensive and don't ever apologize for anything."
Harry S. Truman