I like to lightly sand before applying anything just for the fact it gets rid of any small imperfections or mars that may be on it.
Seeing as how noone is going to be touching this or rubbing up against it (it is base board) I put 1 coat of color,1 sealer,than my top coat with no sanding in between now if it was trim or tounge and groove that would be different.
I like to go with oil stains just because this is what I prefer,they are less expensive and give a better look.

You can sand before you apply the wood conditioner to remove some surface defects. You will want to use an oil based stain is will look much better than the water based types and then apply your finish and please sand between coats even if this is base board as it will very rough and you will not be happy with the results. You can use either acylic or oil based urethane and just be sure to follow the directions of the company that makes the one you get as there are to many out there for me to give you a blanket answer on the system you should use, the people at the paint store will be able to help you out in this area.

Thank you for the help. I have also determined that wood conditioner isnt really necessary for oak, its more for woods like pine or poplar that dont take stains well,so back to the store it went. I have purchased oil stain, will sand first and between coats of finishing water based coat(yes you can use water based over oil, and it wont yellow like oil finishing products can)Appreciate the advice all,now if I could just get motivated and start sanding!