MZ,
I use a quality stain (Min-Wax) and a good water based poly-eurethane. I always apply two coats over all of the base - top, bottom and sides. Once the first coat has dried (usually overnight) I lightly sand or steel wool the sides which after the second coat, produces a better shine and overall finish.
In between coats:
Another example after two coats:
Once the second coat has been allowed to dry for a couple of days I mask off the sides with a good quality masking tape (3m Painters Tape works best for me) to prevent any groundwork (I use Celluclay) from working it's way over the sides and sticking to them.
Once the diorama is complete I remove the tape by gently pulling it in a "Down and Away" motion, taking great care not to disturb the edges of the groundwork where they meet the edge of the base.
Hope this helps,
razorboy