You didn't sat what kind of wood it is. Personally, I don't like staining, and I don't like a shiny finish. I would soak in a 50/50 mixture of boiled linnseed oil and mineral spirits. The oil will bring out the grain and natural color of the wood. The MS allows the oil to dry in 24-36 hours. After soaking, wipe off all excess oil, then let dry. After dry I like to use a semi gloss spray lacquer.
This is how I finish all my scroll saw projects and have been happy with it for many years.
P.S. You did an excellent job on the ornament!