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Danish oil is a penetrating oil and not a great guitar finish. It will bring out the grain but it will not give you the shine or finish thickness you are after. You can add some Min Wax Wipe On Poly on top of the Danish oil with no problems and that will be your finish. Danish Oil will not build any thickness like you want for a glossy shine. The Wipe On Poly will. And, it is easy to apply. Just, umm...wipe it on thin. Wait three hours, recoat, repeat until you have the finish thickness you want. Danish Oil on the soundboard is a bad idea by the way. Since it is a penetrating oil, it will deaden your soundboard by making it heavier.
I am currently using Min Wax Wipe On Poly over Danish Oil on a neck, but I would not use it on a body. As I said, it penetrates the wood and makes the grain look nice, but it also weighs the wood down.
Also, you should have sanded the neck to 400 grit if using Danish Oil alone. If you follow my recommendation and top coat with the Min Wax, you can sand the Min Wax to a higher grit but your neck should have been prepped with at least 220 grit. I would have done 320 grit, then Danish, then Min Wax. Don't bother trying to sand off the Danish Oil on the rest of the guitar. You wont be able to without making the wood too thin. And it probably soaked all the way through if you followed the instructions on the can.

Did you use the Danish Oil on the soundboard too?

Wipe on poly is a fairly easy to apply, fairly tough finish that will give you a good shine.
The only caveat is - if you try to repair the finish, you are in for a hard job. It is very difficult to remove - I tried a few of the recommended removal products on my first build and had troubles; I did research and found my experience was typical.
So - depending on your tolerance for a few scratches etc - Tony is correct. You can get a very nice finish.