Paraffin wax can be used as a safe, non-toxic toy finish. It is inexpensive, simple to apply, touching up the finish is a breeze, and most importantly, it will not harm the children who play with the toy.
You will need paraffin, a double boiler, and a heat source. The project that you are finishing needs to be heated to about 120 degrees. (The heat from the project keeps the wax from hardening until it has soaked into the wood enough to protect it.) Melt the wax in the double boiler while you are warming the toy in the oven. Set the oven at its lowest temperature and check the toy every minute or so to make sure that it doesn't get too hot. When the wax has melted and your toy is warm, fold a soft cloth into a pad, dip the pad in the melted wax and apply the wax liberally to the toy. Rub the wax into the toys surface. After the wax has dried, using another soft cloth or a random orbit sander that is equipped with a buffing pad, buff the surface of the toy to produce a satin-like finish.
NOTE: Use extreme care in melting the wax because paraffin is extremely flammable. Also remember that hot paraffin can stick to your skin, causing burns.