Like John Arnold, I usually use aniline dye. I use the type that's mixed with water. The neck shown below is dyed with Constantine's "brown mahogany" with a little Lockwood "red mahogany." Possibly this will work over a couple of coats of Tru-Oil (more on this in the last paragraph). Aniline is much more fade resistant than many dyes, but will the color will fade a bit if put in a bright sunny window for an extended period. The mahogany will darken a bit with age as that's happening; maybe that compensates.
I've stained unsealed wood by applying oil-based pore filler. As shown in Terence's photo, this works well and gives a nice even look. As Mr. Guthrie alludes to in another thread, some think this look is "muddy" because it isn't as transparent as a dye. I understand Martin used this method to color mahogany necks and it is regarded as traditional. I have a D-35 with a semi-opaque neck finish and I notice that it puts the color of the neck in the background and foregrounds the striking color of the BRW back and sides. But for guitars I make I prefer a clearer look.
A dilute solution of household lye dyes mahogany medium-dark reddish brown, and the color doesn't fade. I'm thinking of trying this. If you trust yourself to use drain cleaner and oven cleaner, I think you can use dilute dye to stain wood. (Tips: use gloves, and don't drink it.)
If you use water-based aniline dye or lye in water, you need to raise the grain first with water and sand it back down, twice, and then seal with a 1 lb cut (very dilute) solution of shellac. Otherwise the end grain of the heel will get darker than the rest of the neck. Tru-Oil is a very dilute varnish, and--if you haven't already sanded it off--just 2 coats might function like a thin coat of shellac and allow the wood to absorb dye, and absorb it more evenly. If you have any mahogany scraps to test it on, it would be worth a try.
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