I just read an article in Scroll Saw Magazine. For oil based stains sealing with glue sizing (one part white glue to three parts warm water) will help prevent bleeding. I haven't tried this technique yet but I will.
I've had good success by staining the wood first with a stain such as golden oak, applying three coats of water based polyurethane, carving the wood, then staining the carving with a very dark water based stain. The golden oak tends to hide the bleeding.