I have built many wooden models over the years, and like Derek, I preferred to leave them in the natural wood, just protected – in my case with water-based lacquer. I can't say I ever took any steps to remove grease or oils from the wood before finishing – I simply never saw any. (I can post some photos of the results if anyone is interested in the appearance). I used many different types of wood, and some had a natural oiliness, which also didn't seem to cause any problems.
At the time I lived in Germany, and due to the onset of 'ecological protection', it was quite difficult to find oil-based lacquers, which is why I used the water-based stuff, and eventually I became quite a fan of it.
This makes me wonder if there is any connection to the 'rusty hands syndrome'? I worked for a while in a small engineering company – most of the material used was stainless steel, but I quickly found that if I handled steel or iron items, they developed clear corrosion marks where I had handled it – this was very fast – it only took a few hours for the marks to be clearly visible – I had to wear thin cotton gloves to get round it. Eventually, this seemed to clear up, and no longer happened, which makes me think that possibly certain people do produce oils naturally, which may explain the problem Simon is having, and which I had.