Clive:
A couple of options.
You varnish a painting about 6-12 months after you finish painting it because the oils are still drying during that time and if you were to varnish early, then the varnish has a good chance to cross-link with the paint and become hard to remove without removing into the paint layer. In essence, the paint eats the varnish if you apply it too soon.
So, you have a couple of options depending on your timeframe and working style:
1. Remove paints that tend to sink in from your palette. I still cannot do this, I love Burnt Umber too much.
2. Oil into the sunk in areas by rubbing a small amount of linseed or walnut oil into the area. You may have to do this several times with several days of drying time inbetween.
3. Put a "non-isolating" varnish over the painting after it is done - with the expectation that it will cross link with the paint and could become difficult to remove in the future. This is the retouch varnish solution - damar is removable with solvent and would bring the sunk in areas back. If it were to yellow in the future, you run the risk that it might not be removable without also removing some of the paint.
4. Put an "isolating" varnish over the painting after it is done with the expectation that it will cross link with the paint and will not be removable in the future. This solution involves something like a retouch made from an alkyd resin - like Galkyd Lite mixed 50/50 with rectified turpentine. Brush it on thin and it will bring the sunk areas back and will be non removable in the future. Again, if it were to yellow in the future, then it would be darn difficult to remove, but the advantage is that there is little risk of overcleaning into your paint layers.
Now for my opinion. If you have the time for it to dry, then oiling in with linseed or walnut is probably the best option for posterity. For my paintings, I choose to put an isolating varnish over them and I use the Galkyd and turps solution I mentioned above. I do it in a very thin layer and if it were to yellow at all in the future, then I believe it would be very slight if it were noticable at all.
I still recommend varnishing with a good synthetic varnish like Gamvar or a stable non-synthetic like damar after 6 months to a year.
Others will likely have opinions too, so stay tuned.
Hope that helps.