I just the melt in sticks (I think they are made of shellac)
to fill the holes.
I fill the holes after I stain (better color match), but before I poly
(so the poly doesn't melt).
But keep in mind, most of my stuff is plywood with oak face frames. If
I was making a solid wood china cabinent or something, I might be more
concerned about nail holes.. but for plywood projects.. very few people
are going to notice the patched holes.. It's a big time saver.
Heck, the kids are going to damage the book shelf or whatever over the
years anyhow. LOL. That will look worse than some filled brad holes.