That's because it doesn't 'dry' and is not supposed to be applied in 'coats'. It is applied sparingly, being rubbed-in with a cotton patch or similar. The stock is then put away for at least overnight while the RLO soaks in. You can cut it with Turpentine which will speed penetration. If this will not penetrate your stock, it has some kind of hard finish that is clogging up the wood. If you get an old, black over-oiled stock, consider using Lacquer thinner on a ScotchBrite pad to clean it. For an existing unknown hard finish you may have to try the mildest solvent first as posted above - that would be the most conservative thing to do.