It depends. Deep dings can't always be sanded out, as the stock may start taking on some weird shapes...
Some finishers talk about slurry fills with sawdust plus finish. Probably not the best idea, not a robust fix. Clear epoxy can be used judicially in small holes.
I've used sawdust from the project with glue, but those filled in areas seem darker than the surrounding wood. Brownells has shellac sticks of various shades of color and I think some pro's use these. Making a patch not look like a patch can be pretty high end stuff.
I would consult Karnis if I couldn't figure it out. He's had a world of experience and is one of the best, IMHO.
DF