I stain and seal with everything off. Then install all the metal parts and apply the rest of the finish. If finished with parts out, you run the risk of them not fitting when the gun is done. This can be from finish build up or shrinkage from the stock being in the sun to cure the finish. Finish can be scraped out of inlets, but no need to bother with this method. Good sun is almost required for curing a linseed oil finish and this can cause the stock wood to move around without metal parts in place.
I've never tried that but will. Do you ever experience any problems getting , say, the lock out after finish being applied with it in place?
I have found this same process to be the easiest and results in the best metal to wood fit. The lock and all come right out afterward. I have had no problems when using Chambers Traditional oil finish, which I believe is a medium oil finish with a linseed oil base(?). I usually let the gun dry overnite between coats and for several days before pulling the lock etc. just so I won't smudge things up. Setting it in the sun for a day will usually speed the process quite a bit.