Using Choice of Finish When Sanding

I read somewhere in my site surfing about a week ago that someone used their choice of finish when sanding and it created sort of a slurry and it gave awesome results..I forgot where I read this..Anyone ever tried it? How did you do it? Use it on turned items somehow w/o making a mess?

The whole article is here. (oops, subscription required). I have never done this as I rarely color wood but, many folks use this method and the results are quite nice.