[gitnoob]

I would pay attention to John How's advice.

However, I did refinish the neck on an inexpensive guitar, so I can offer the following:

Sanding is difficult. Especially around the heel and the bridge. Some people have had good luck with a heat gun and scraper, but there is risk to braces, bridge, and other glued areas when applying heat.

You do need to refinish after removing the old finish. Otherwise, the guitar will get filthy and it will be exposed to moisture effects.

I've used Tru-Oil with good results. It's easy to apply, and it dries to a hard finish. It's the same stuff used to finish gun stocks.