The staining is done with rags. Just wet down the rag and circular motions on the wood. Let it sit for a minute, then wipe off. If it's not dark enough, wait the recommended drying time and then repeat.
The finish is usually done with a sponge brush. That's why I like water based, because you can use a sponge and not have it be eaten away.
The finish is a bit harder, because you don't want brush lines. If it is rough then I use a steel wool, lightly sand and then recoat.
Before staining I sand. I start with around 100 grit (depending on how rough the wood is), move on to 150, then 220. When I get to 220 I sand, then wet down with water. Let it dry. The water loosens up the wood, it's better then a wood conditioner, at least I think so. I repeat this process until the wood is no longer rough after applying water.
The pictures I posted have a high gloss finish. Personally I prefer the matte look, but these were gifts and that's what the people I made them for wanted.