About six months or so ago, I coated mine in a polyurethane finish. It's a liquid plastic finish used on funiture and floors and stuff. It's really easy to apply; you just spread a thin layer evenly over a scale, let it dry for a couple of days, then do the other side. And that's that!
The end result pleased me and I still carry the knife frequently. However, I wouldn't recommend putting that finish on any other knife. It's very slick, but it works well with the CJL because the handle texture was so aggressive to start with.
But, you know... different strokes for different folks. Depending on your tastes or pants, you may find that you like the handle texture. If you don't though, there are other things you could try doing. For instance; you could sand or file down the handle (either the entire scale or a portion under the clip). Or you could just stick a piece of tape on the handle under the clip area to help prevent chafing when you pull the knife out.
