Evan, Steve and deecee are both correct but perhaps I can tell you a way to get a richer stain color. You can stain again between coats of oil based poly. Stains like the Minwax regular oil based stains are finely ground pigment in a binder and carried by mineral spirits/paint thinner. The small pigment pieces lodge in the pores of wood and you can get them to lodge in small scratches in poly. The secret is to be sure that a coat of oil based poly is completely dry and then sand it with a maroon non-woven abrasive pad such as 3M's Scotch-Brite. Wipe any dust off with a tack rag and apply a coat of stain to the poly. When this is dry, apply another coat of poly. It would be great if you could spray this, but it will work ok for brush painting if you work relatively fast. When you have the color to your satisfaction, apply another 2 coats of poly over the stain depth that you like.
You are correct that this will take a while, but you will end up with a great finish and you can keep the different item going at different stages. Bob Flexner's book that deecee mentioned is vastly the best available in my opinion also.