It depends on the kind of wood. I would not bother with tung oil on something like lignum vitae or cocobola. These woods are impregnated with their own resins and won't really absorb the oil. You're bound to end up with a sticky mess.
On less oily woods Tung oil is very good. Use something with the words "100% pure tung oil" on the bottle. Do not use "Formby's Tung Oil Finish" as it contains no tung oil at all, it's simply thinned varnish and will dry with a hard slick film. The pure oil can be found at Woodcraft. For the first coat you want to really penetrate the wood, so thin it by half with a solvent like mineral spirits or turpentine. Just flood the wood with the thinned oil, let it sit for a minute. Depending on how "thirsty" the wood is, it may have absorbed most of the oil and the surface dried off, if so apply more oil, and repeat if necessary. Your goal is to keep the wood flooded with oil until it stops absorbing, it might take 20 or 30 minutes. At that point wipe the surface dry and let it sit for a day or two. You want to keep an eye on it for the first few hours after letting it sit, because oil will weep out of the wood pores and you don't want excess oil drying on the surface, so you have to keep wiping it down.
The next coats use full strength oil, just dap your fingers in the jar and rub it vigorously into the wood, generating heat with your fingers, then wipe off and let it set for a day. You can repeat this as many times as you like, the classic rifle stock finishes might have 30 coats applied over a the course of several months. You can build a finish with a lot of depth this way, but 2 or 3 coats is plenty for a utilitarian user finish. If you intend to apply another finish over top of the tung oil, like wax or varnish, you need to wait at least a week so the oil can fully cure. Really to completely cure it might take over a month, but in my experience a week or two works ok.
Make sure to store the oil so that it is not exposed to air, either squeeze the jar down so the air is gone before you tighten the cap, or fill the air space in the jar with something like glass marbles. Tung oil degrades fairly rapidly in the jar if it's allowed to contact air.