I don't know if I can give you advice but I can relate my experiences with finishing cedar.
I have built several decks and most recently a children's play structure out of cedar. I, too, was told to let the wood 'dry out' for a season before finishing. I tried this on the first deck (and on the play structure only because I just didn't get around to finishing it) and found it to be VERY difficult to restore the wood to it's natural state (I used an oxalic acid-based restorer which is supposed to be the best for cedar). As a matter of fact, I am now faced with sanding the playstructure (which I used the restorer to avoid) because the restorer left a white haze on the wood.
The other approach I tried with one of the decks was to finish it right away. I used a linseed oil-based finish, but almost immediately noticed mildew starting to grow. Apparently even if there is no obvious mildew, any that is present will start to grow once it has been sealed in and given a 'friendly' environment in which to thrive.
So...if I was to do it again, I would treat the new wood with an anti-mildew agent (most of them are just a chlorine bleach solution) and then finish it with an appropriate clear preservative.
Hope that helps.
P.S. Check out the Western Red Cedar Lumber Association website at http:\\www.wrcla.org lots of good advice on this kind of thing.