Some people varnish the blank first, then wrap the guides.

Some people wrap the guides and then varnish the rod. It doesnt matter much either way......whichever you prefer.

However, in either case. After you wrap the rod, you need to put coats varnish on the wraps to protect them.

It will take a number of coats of varnish to completely cover the wraps.

People will normally thin the varnish for the first couple of coats on the wraps. Thinning the varnish will allow it to penetrate the threads very well and will help fill up the gap under the thread that is next to the feet of the guides.

I would suggest trying thinning your varnish about 50/50 with real turpentine or mineral spirits. Use that for two coats.
Then try two coats of full strength varnish. The two thinned coats can be applied the same day, just let the thinned varnish dry pretty well.
The full strength varnish will take longer to dry. Give it a day between coats.

You want to completely cover the thread to protect the wraps. You don't want to see any "ridges" from the top of the thread.

Hope this helps.