I have used both in the alcohol based version of Feibings. First the dark brown dye, then sand back to lighten it up. The softer wood grain will remain darker, not as dark as without sanding but still darker because the dye soaked in deeper, Then gave it a coat of light brown, and another sanding, the softer parts of the grain will be darker according to the softness of each grain line.
I don't use Watco Danish oil, I use Watco Teak oil finish, it is an outdoor finish that supposedly contains UV inhibitors, I put on a lot of coats with 24 hour wait between coats. First 2 coats are diluted 50 50 so that the finish can soak in as deep as possible.