Plenty of CLP or (preferably) Ballistol and a toothbrush work well for me in removing the red stuff. If there are a lot of nooks and crannies (think KK handle) then it may take a few applications. A toothpick or such can also be handy for getting into the cracks. If you have access to a milsurp small arms cleaning brush this works great: the big bristles work for general cleaning while the smaller, stiffer ones will get into nooks and crannies.
I blast all the residue off with brake cleaner. This also removes any remaining wax and draws some of the oil out of the handle. I want that sucker uncoated and bone dry for what's coming next.
If I think it needs it, it gets another wipedown or two with denatured alcohol, mineral spirits, acetone or any other solvent laying around...I'm not picky. They all work.
I've tried a number of different finishes. Arty turned me on to Watco's Danish Oil and I like it now; it does a good job of protecting, looks nice, and has turned a few questionable chunks of wood into attractive pieces. I used to just paint multiple coats on but I now have a jar full of the stuff. I just drop the handle in, use plastic wrap to seal out the air, and let the thing soak for a few days. This also works on horn but it takes a little longer. It does a nice job of bringing out the grain of both wood and horn. (Especially horn.) You won't get a high gloss with this but the grain will show nicely and it makes for a nonslick grip in the rain - important for me but your mileage may vary.
For additional protection, whenever I'm oiling the blade I make sure to slop some of the Ballistol on the handle. (And the scabbard, and my hands, and the floor...) If only car maintenance could be this easy. I've found that the Ballistol works well for replenishing the moisture lost from my hands during the steps involving solvent.
