Myself, I simply use shop towels - kind of "scott towels", but the blue kind, found in the car dept. at Canadian Tire. Cheese cloth also works, as would other things too I guess.
Apply a very thin coat. Let it sit for 24 hrs. Repeat.
If the wood has already been treated in a previous life, it may not need too many coats; sometimes used stocks I work on look decent after 4 or 5 coats. If it's newer wood though, you could be in for a long haul - I did use new stock on one of my Longbranch No4's, must have put 20 coats.
The nice way of looking at it was mentioned by others to me: "Put linseed oil once a day for a week, once a week for a month, once a month for a year, then once a year for the rest of its life" - that sounds cool and likely is pretty close to a perfect system!
Lou