I have a wenge backed les paul and a wenge topped les paul with the same top and back vice versa (padouk/wenge, wenge/padouk), and on both guitars, they were unfinished for YEARS, the wenge top is still unfinished. You can sand it with a bit of oil and then hope the oil and sand dust will stick to the pores. one final layer of oil or shellac and you're good to go. on my top it's sanded so smooth, like a baby's bum (and it's quarter sawn, aiding in the tighter grain, too).
Ok, now the tone. It's THICK with so much bite. It's actually amazing. It's like korina with obesity issues. I do not recommend a wenge neck to go cause that will make it too thick for a les paul, but it might work for a tele or LP junior style instrument.