Danish oil is a good choice too, though the formula varies from one make or another. It's traditionally tended to be a mix of tung oil and polymerized linseed oil, but there isn't a 'standard' formula. Some brands may have resins in them, cheaper brands may have a higher proportion of linseed oil than tung oil as tung oil is dearer, and more expensive Danish oil may not have any linseed oil in it. EG:
http://danish-oil.com/how-we-make-danish-oil/
As MM says, such oils don't simply 'dry' they oxidise and go through a chemical change to form moisture-repellant tough finishes. When used on cabinetry it requires little skill to apply, which is why its favoured by some for finishing wooden radio cabinets.
I think for the task in hand, I'd be more inclined to use oil-based polyurethane varnish as it's thermosetting and won't melt if heated. (many modern varnishes as water-based, and intuitively, that doesn't sound a good idea for encapsulating wound components that will be operating at high Voltages).