John,
It would be helpful to know what you have made of cocobolo, and what you you would like the finish to look like several years down the line. The tendency is for cocobolo to darken considerably, even to the extent that it looks nearly black after several years. Oil finishes, especially those that contain linseed oil, tend to accentuate this tendency. Small pieces that are not subject to a lot of wear can actually be sanded to 600 - 1000 grit, buffed, and waxed (or not), and the polished wood is beautiful without any finish at all. A lot depends upon what you are talking about, a decorative bowl, a door panel, a pen, etc. Narrow it down a bit, and I think you will get a lot of good advice.
Hope this helps.
Matt