actually I am interested in this, since I have been experimenting with and testing colored pencils in a variety of brands---making artworks --intensifying my efforts/experiments and reading books on this subject since last August especially--working with colored pencils nearly daily --- so I thought I would give my insights--but encourage anyone reading this to experiment and obtain your own results---
Basically what I learned it that there are wax based colored pencils such as Prismacolor brand(Dewent and Cretacolor to name just a couple more) and there are oil based colored pencils--meaning the binder used to hold the pigment together is not wax--(these pencils are not oily to render with). The oil based colored pencils include Lyra, Van Gogh and Pablo pencils--some of the makers of these pencils also make watercolor pencils which either say watercolor or Aquarelle on each pencil---the watercolor pencils are a controlled way to use watercolor paint--they can be rendered in layers and brushed with water or dabbed with damp cotton swabs or sponges etc. The wax bound and oil bound colored pencils (non-watercolor) can be blended and glossed with odorless Turpenoid,and more finely blended with odorless mineral spirits and for the finest fine detail use rubber cement thinner aka Bestine or colorless markers found in the graphics section of art supply stores. I would not use lindseed oil to blend colored pencils due to the drying time and stickiness and the fact that there are other mediums that would produce similar results that would be easier to use to achieve the desired gloss /sealing or *bringing out the colors* ---you might try Dolands wax medium, or even faster drying waterbased acrylic glaze or acrylic medium---There are other mediums out there that will dry in about 6-8 hours (which is probably faster than lindseed oil) --such as Liquin, Liquin fine detail, Liquin gel---and other transparent gel mediums for you to investigate--acrylic and oil based, and also alkyd medium.
If you are not sure where to look for these things when visiting an arts supply store it is often useful to find a friendly store employee or read up on oil mediums and acrylic mediums on-line before you shop. There are also something called driers --Cobalt drier and Japan drier commonly available but considered toxic and difficult to use--basically they are both a thick liquid that you mix into oil based paints in very small quantities--a drop or two, to speed up drying time--since oil paints contain linseed oil the driers may be of use in just straight lindseed oil as a glaze.
Marie Kaz...