Coco, bocote and a few other of the oily woods dont really needa finish. Just a good rub down with some teak oil ad then some wax. Over time, the calls will take on a nice patina of their own and look really good.
If you want to use a finish, a lot of guys have said they have had good results with rubbing the wood with acetone or another cleaner to remove the surface oil and then they apply the finish. I dont know how well this works but they seem to swear by it.
Now, I usually finish cocobolo with just wax or use a super glue type finish.
Dogcatcher posted something a while back about finishing oily woods I think. You could try the search but I dont know for sure he posted it here.
Al @ THO