Beeswax is applied by melting it and thinning it with mineral spirits, and then applying it to the finish with a brush or rag. The mineral spirits make the wax much easier to apply. Several coats are necessary, with some rubbing to cure the finish. Linseed oil is used much the same way. You need boiled linseed oil, by the way, not raw linseed oil.
Raw linseed takes forever and a day to cure.
Diluting the oil with mineral spirits makes it easier to apply, but really doesn't affect penetration much. As you apply the oil, you'll notice that some parts of the wood suck up the oil faster than other parts, resulting in dry spots. Just keep applying the oil until these spots disappear, then wipe off the excess. After letting the finish dry overnight, sand it down to eliminate the roughness in the finish and apply another coat of oil. Repeat at least another coat or two, letting the finish dry overnight and sanding between coats.