TIME - TIME - TIME..... a decent finish takes a bit of time. DON'T get in a hurry! Its worth the time to do it right, and will make the difference between "just a guitar" and one that "drops jaws". The beginners pitfall, every time.... is rushing things. Patience is a virtue.
Ash, swamp ash, is particularly rough. God chose to mimic swamp ash when he created the Grand Canyon.....
What happens if you don't grain fill. Well the final finish will about as rough as using a cheese grater for toilet paper. So unless you got titanium 'roids, fill that grain!~
Grain filling is not a bad deal to do, its cheap, the result is well worth it, but it does take a bit of time. I was amazed that I could get a pretty easy mirror finish on the ash body I just did, with only 3 sessions of grain fill.
I think the key for grain filling is to keep the application VERY thin, just do multiple applications. I used a credit card (sample card) to "scrape" the filler into the grain while it was still wet, trying to spread and remove as much filler as possible with the card, before the filler started to "set". That made sanding much more enjoyable. USE A SANDING BLOCK (from 3m, Home Depot). The StewMac water based filler dries rather quickly, but give it over night to dry and shrink in.
After several filling sessions, you'll see that the grain is all filled. At that point, you can stain it, then oil finish it. The key to oil finishes... TIME TIME TIME TIME.... once again, don't rush. DO NOT TRY to build a finish on the wood with oil. Wipe every last bit of oil possible off the wood. Let it dry a week... ten days. Another oiling... take it ALL off... dry. Keep going. It is going to take time. Results can be spectacular.
I still think of a rifle I did. It was a BSA .22 Martini, target rifle. Made in Birmingham, England, 1957. It got probably 12 applications of linseed oil, over a six month period. Another month to dry the last application. Then I buffed it out using a new cloth wheel, no compound. My GAW-D (the Rush way). Amazing results on English Walnut... light in color, but nice figure. Just amazing.
Take your time with it. Do yerself a favor, do the guitar a favor, and you'll really be glad you did later on, and not "be wanting" for a better finish on it.