It should be varnished several times using a marine varnish. Wrap the handle end with tape, and then leather. Using double sided tape will help the leather stick in place. This is where your artistic ability come in to play. I recently found a source of rattan by the devious method of trying the yellow pages.
Rattan has warps and knots and such in it.
Polyurethane is much quicker because it's fast-drying, but all polyurethane finishes have something of a tendency to flake, and this is really exacerbated when you're dealing with a flexible cane. Be sure to have all your sanding done before you stain and varnish, and round the striking tip as well. For grips, if you're not a leatherworker and don't plan to be one, you can fashion a simple handle made of tool dip. I usually wrap the handles with cord first in order to provide some traction. Wrap the handle end with tape, and then leather.