Hi Staggerwing,
All of those methods will work fine depending on what you want. I described the sanding slurry method in another thread on Brown Besses. It is a very efficient way to fill the grain on walnut (European and American black walnut) but it does obscure the grain a bit. If the wood is very plain with no figure or pretty grain to showcase, the slurry method works very well. It was often used on English guns of all qualities when the wood was plain and a smooth glass like final finish was desired. You can also fill grain pretty fast and not obscure grain by simply putting the first couple of coats of finish on your stock, let them dry and then burnishing the stock with a polished antler tip. This will push the grain down and smoosh finish into the open rays. However, it also produces a finish that may have ripples particularly if the wood has figure. On many guns that is fine and looks very period correct. Finally, you can just put the finish on in thin coats and slowly fill up the grain. I find this best if the wood has nice figure or grain and I want a pretty smooth final surface. It just takes longer.
dave