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Some oils turn after a while, they go acidic, which is not so good for steel. TherforeI would not use linseed oil.
Rennaisance wax is a product I am not familiar with, but I know many here use it...

Wet'n'dry sandpaper works fine, if you can get micromesh it is even better. Horn is pretty soft compared to some other materials, and in my experience it does not require coarse sanding. I'd try 800...