I'd be somewhat cautious about useing an oil finish on rosewood. Try it on a test sample first to make sure it doesn't darken the wood up too much and actually hide the figure.

You might want to consider a shellac finish, instead. Or maybe just a matte wipe-on poly finish (or a semi-gloss wipe-on poly that you then rub down with a green nylon pad so as to remove the shine). Either of those should give you adequate protection (it is just a sgian dubh; not like you're going to be setting a drink on it or anything) without too much darkening of the wood.

The shellac has the added benefit of being reversable (or easily repairable).

Just something to consider from a woodworker's point of view...

Cheers,