If you are gluing feathers down with natural glues (hide glue, etc.) it is a good idea to glue the feathers down to a bare shaft and then seal around them with the finish of your choice. However, if you are going to tie them down you can finish the shaft first then simply rough up the shaft at each end of the fletching where the binding will go. A spiral wrap through the fletching will hold them to the shaft, and can be done over the top of the finish.
The only modern finish I have used is water-based Varathane. It can be wiped on, but also works really well for dipping shafts. Goes on milky and somewhat thick, dries clear, hard, and thin, and comes in gloss, semi-gloss, satin, flat, etc... And because it is water-based, it doesn't have a strong odor to it. As far as fletching glue goes, I used both Fletchtite and Duco Cement with good results.
For primitive finishes, I have used animal grease on its own and mixed with beeswax. I prefer the mix, as it seems to offer better moisture protection with fewer applications, though with a slight bit of gloss compared to grease alone.
