Raw linseed oil will not polymerize (harden). Boiled linseed oil does. Boiled linseed oil works just fine. It is not gummy. The only downside is that it takes a bit longer to polymerize than some other oils.
Lemon oil-the furniture polish sold at Wal*Mart-is just mineral oil with some lemon scent. Lemon oil-the real stuff made from lemon skins-is pretty hard to come by. Neither is particularly effective as a finish.
Finish? Yep. That is what is really being discussed. Boiled linseed, tung, Danish, and other oils are wood finishes. They lie (mostly) on the surface and harden to form a barrier between the wood and the environment.
Oily rags: All rags soaked in finishing oils are susceptible to spontaneous combustion. After using a rag, lay it flat on a fireproof surface and allow to dry completely. Then dispose. Alternatively, soak in water overnight and do the same. The deluxe method is to have a fireproof can for disposal. Standard procedure in many shops, it is overkill for the casual user.