FINISHES FOR WOOD
There are literally hundreds of books written on this subject, and it would be redundant to even attempt to address all the options here.  However, the sculptor working in wood can benefit from the discussion on finishing of stone.  Here are a few points about what wood as a type of material allows in terms of a finish.

You first need to consider the aesthetic choices and what will emphasize the type of form you have carved, the type finish which will help the form to express its best qualities.  You also want to consider what the long-term changes will be with the various different types of finishes.

The Seventeenth-Century woodcarver Grinling Gibbons (1648-1741) worked almost exclusively in limewood, a fine-grained soft white hardwood similar to basswood here in the States.  He liked the raw 'dry whiteness' of the wood and so did not apply a wax or oil finish to his carvings as did many of his contemporaries.   Over the centuries many of his works have changed dramatically in appearance -- the raw wood has absorbed airborne fumes from smoky-burning oil and wood lamps much more so than the initial color of the wax or oil would have altered it.

This is not to say that a finish need be applied, just an illustration that points out that the wood will acquire a finish with time whether the carver intends it or not.  And, who knows if perhaps Gibbons expected and even welcomed the patina that developed on his raw carvings?

The type of finish the carver chooses will naturally affect how the viewer reacts to the finished piece.  The effect of a painted carousel horse is quite different than the effect of viewing a Gibbon's carving.  A painted horse is using wood merely as a vehicle for the form, and would not seem complete without the paint which obscures the material underneath. But the idea of painting the delicate work of Gibbon's and his workmen sends shiver's up one's spine.

However, whichever finish you might choose there are a few considerations which should be taken as given:  the carving and work on the carving surface should be completed so it is uniform (whether sanded smooth or left with deliberate tool marks).  Any applied finish will only accentuate flaws in the surface -- not hide them! 

Combinations of various types of finish might allow you to express yourself more fully through the carving.  Play with it, allow the finish to grow and get tweaked into something that speaks to the form you have carved.         

STAINS/DYES
To change the color of the wood but allow the natural pattern of the grain and figure to show.  Oil-base, alcohol- or spirit-base, and water-base varieties all available.  They are primarily used for furniture and are generally used to unify various pieces of constructed wood so it all appears to go together.

WAX
To seal and protect the wood, deepening the color without application of added pigment.  It is simply and easily applied.  The protection it provides from stains is minimal, but the ease of application often outweighs this in sculptural as opposed to functional use.  Colored waxes are available (dark and reddish versions available for paste wax made for floors, and of course shoe polish is just tinted wax), and universal paint pigments can be added to the wax for special colors.  One of the advantages of a wax finish on a carving is the intensity and variety of color one can achieve during application between different areas in the carving's surface.

OILS
To seal and protect the wood oil finishes work better than wax, though the resulting finish color usually tends to be darker or deeper in tone compared to untinted paste wax.  Traditional linseed oil finish is wiped onto the surface liberally, after fifteen or thirty minutes the excess completely wiped off, and then allowed to dry in a dust free place overnight. The number of applications to complete this traditional oil finish goes like this:  "Once a day for a week, once a week for a month, once a month for a year, and then once a year for the rest of your life."  This type of oil finish usually provides a satin or relatively low-gloss eggshell sheen.  One point to remember about an oil finish is that it will be no smoother than the smoothness of the wood itself.

Most modern formulated off-the-shelf oil finishes only require one or two coats to obtain a durable and lasting finish.  Tung oil is a naturally occurring varnish that is usually applied by wiping one or two thin coats on the surface.  These are available in low, medium, and high-gloss versions.

If you have a smooth-sanded surface on an open-grained wood (such as mahogany or oak) it can be filled by wet-sanding while the liquid oil is on the surface.  Use 600 grit SiC wet-or-dry paper and the sanding dust and the oil form a filler to level the open grain.  After several coats (less for mahogany than for oak) use a clean cloth to wipe the surface down.  When dry apply paste wax and use a lambswool pad to buff.

VARNISH
Where oils penetrate into the wood and leave a thin film on the surface for protection, varnishes remain almost wholly on the surface.  Varnishes are usually naturally occurring oils and resins which polymerize to form a tough, durable, coating. Synthetic varnishes -- polyurethanes -- are generally even tougher and more durable.  Both types are available in matte, semi-gloss, and high-gloss versions.  Generally the high-gloss versions are the most durable because the additives that create the lower sheens also soften the dried polymers.  For the most durable and long-lasting finish use a high-gloss varnish/polyurethane and reduce the gloss by lightly buffing with 0000 grade steel wool.

Though varnishes are the most durable finish, they are not used as often as wax or oil finishes for sculpture.  This is due to their 'artificial-looking' surface glaze as compared to the less-commercial and 'more-natural' look of the oil or wax finishes.

SHELLAC and LACQUERS
Shellac (alcohol-base) and lacquers (solvent-base) are harder and can be finished to a higher gloss than varnishes.  However, they are also easier to damage because they are more brittle, and they are generally more sensitive to moisture discolorations.  Their chief advantage is a quick-drying feature, and the fact that they sand with minimal gumming and it is easier to achieve uniform and level surfaces much better than varnishes. The solvents are more toxic and more flammable than for varnishes.

PAINTS and WASHES
Paint can be used to color the carving (aside from carousel animals, think of waterfowl decoys, wildlife carvings, masks, caricature figures, etc.), but can also be used to cover-up small repaired defects in the carving.  A thinned-down paint -- often called a wash -- will help to unify a carving and can also be used to tone-down coarser workmanship without completely covering it in opaque paint.  Following through after the paint dries by lightly scuffing the projecting areas with sandpaper will soften the harshness of the painted surfaces, making it feel less pristine and a bit more comfortable.

METAL LEAFING
Metallic foil leafing can also be applied (think of gilded frames and Louis XV furniture) to achieve a richness that paint alone can never rival.  Remember that if the bright metallic foils are used they usually work best if toned down with a wash, a tinted glaze, or even just some scuffing to tone down the 'dimestore' feel.

TEXTURE AS FINISH
In addition to all the above applied finishes, consider the use of textures as part of the finish.  By leaving and using toolmarks on the surface as evidence of the process the form often becomes much more interesting to the viewer.  Texture can be used to give 'character' to the form, as well as a visual and tactile contrast to areas that are smoothed of any traces of the carver's labors.  Texture can also be used to disguise -- to a degree -- an imperfect craftsmanship, and in many ways a rich vibrant texture is much more pleasing than a perfectly smooth and somewhat sterile sanded surface.

Burnishing or scraping wood surfaces will give a either a softness or a crispness compared to a smoothly sanded surface.  Experiment with different techniques -- maybe burning using controlled woodburner pyrography, or loose work with a torch -- or perhaps the use of a wire brush will give your carving the expressive texture you seek. Or what about driving hundreds of tacks into the surface? 

The only rules are those you make for yourself.   


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