I think you are right to put a finish of some sort on there, but I don't think it matters very much what you use. I have used spar varnish (the old fashioned kind, with a tung oil base), Danish oil, linseed oil, Laurel Mountain Forge Nut Brown stain with a Permalyn overcoat, and nothing at all. I bought a Northwest gun from Danny Caywood, and it came with a glossy black ramrod that looked like ebony. I had to taper the end of it to clear the forward lock bolt, and found it was hickory with a black finish. I called Danny to ask what finish he used, so I could match it, and the answer was... Black shoe polish!
I've been told that old timers here in the south would wet a rag with turpentine and rub it on every day for a week or so. This is supposed to toughen the wood and improve its elasticity, in addition to providing a protective finish. I've also heard of using the traditional mixture favored by sailors for treating exposed wood. I think this is composed of turpentine, linseed oil, pine tar, and Japan dryer. I've seen wood treated with this concoction, and it actually makes a pleasing deep brown color and a dry, waterproof finish which is not oily or sticky.
Seriously, you can probably look around in your garage and find a little leftover varnish, Minwax, Danish oil, or whatever. Just something to protect it from wetting. If the rod has no finish and it is a tight fit in your thimbles when it's dry, then you put it in wet or you get a rainy spell, it may swell up and be hard to pull out. A waterproof sealant and finish is a good idea.
If I really wanted the best possible finish, for waterproofing and abrasion resistance, I would use either spar varnish (any brand with a tung oil base) or Permalyn. Others may have other suggestions which work equally well for them.
Best regards,
Notchy Bob
