Look for a product called Stain Putty, made by the Bix Company. I get mine at HD or Ace Hardware. It is usually in the stain/filler area. It comes in a 6 oz. plastic tub, white with a brown top. It is a powder. To make putty, simply mix thepowder with stain being used on the wood. The putty will be a bit darker when wet, but lightens when dry.

You add the filler after the wood is stained, let dry and recheck. Sometimes it shrinks just a bit. Add to level and apply finish.

I prefer a diffrent approach. I'm not a fan of the wood fillers etc.. Often they are to pourus and don't handle the stain well.
Stain your piece and then get a "colored crayon" you can get basic colors from the local paint store or depot type of store. Once you get the correct match, rub the crayon into he hole, once you get it flush to the surface use a cotton t-shirt to flatten it out. The friction will soften the crayon and smooth it out.
Do it a little touch up after with your stain and a tiny brush, paint in some grain so it doesn't look like a filled hole.
I hope this helps.

Very often folks get too much glue in the sawdust mix---which prevents stain from working---and makes filler lighter.

I've been filling nail holes with Stain Putty for a long time. I usually call the client to find the filled holes when the job is done. They might find one or two if they look very, very closely. I am sitting at a desk I built with oak ply and oak bullnosed edge banding. It has a bookcase upper section. I stained it with MinWax Golden Oak stain, then mixed a batch of Stain Putty with the same stain---out of the same can---and filled the 16 gauge nail holes---yes, that size is too big, but it was all I had.

That was five years ago---I look at the bookcase upright----8" from my face---and have to get closer to see the filled holes. They are literally not visible from two feet away. Purty good match.

Filled holes should ALWAYS be darker, not lighter.

WHY ? This is your opinion ?
Filled holes ,when properly filled should dissapear and blend whith the piece.

The shouldn't be lighter or darker. They should be the same color.

Every handyman magazine and even Norm tells you the filled nail holes should be darker AS oppossed to lighter. Sometimes it's near impossible to match holes perfectly to the wood. I've also done good matches by staining the wood putty.

Again I ask WHY ?
Norm will tell ya the sky is yellow if your paying him to.
Why would I want my nail holes to stand out and be obvious.

I can make almost any wood touch up disapear. It's my job and I'm good at it.

I respectfully 100% disagree with Norm and Co.about making the nail holes darker.

Besides I'm almost never using a nail on an exterior surface.

It has been my experience that if a really good match---like with the Stain Putty---is not possible---like trying the color sticks/sawdust and glue/---making the filler lighter is less eye catching. I did several hundred feet of pine crown molding, stained dark walnut. The home owner specificially mentioned he wanted no conditioner---he wanted the color differences from the stain to show. And with even good stain grade pine, there was a LOT of difference.

It was in a room with 7' ceilings and a soffit for HVAC in the center the length of the room that was 10" below the ceiling.

I used a 16 gauge nailer and had a lot of nail holes to fill. I made up two batches of Stain Putty----one with the dark walnut stain and another with pecan stain. The dark walnut Stain Putty was a perfect match for the darker areas---but would have stood out like a sore thumb on the lighter areas. The pecan was a bit lighter than the light areas and was a fdair match---the HO could not see the filled holes----and he is a professional painter---has owned his own company for 30 years.

I usually use water stains on furniture, followed by the initial coats of clear finish.
I use shellac sticks and even markers to fill any holes or other defects, then apply the final layers of clear finish.

Here is the way I would do it...

Finish the desk, leaving the nail holes.
Get some filler for pre-finshed hardwood floors (organic based) - two colors: one lighter and one darker. Mix it to a close match to your stained piece, but slightly darker. Fill the holes, they should be close to invisible.

"...filler for pre-finshed hardwood floors..."

Floor putty will leave a dull spot in the finish, and does not harden enough to put a clear finish coat over to hide the spot.

Thanks everyone for your comments.

After my initial attempt with the wood filler, I tried "Stain Putty", mixed with the stain that I used for the desk (dark brown). It matched very well the darkest grain area of the oak but I felt it was still too dark to fill the holes à some of them are about a 3/16" diameter.

The guy at my local wood/hardware store recommended a product called "Color Putty". From what I understand, it doesn't dry hard enough to sand but will accept a clear finish coat. It comes in several colors which can be mixed. My holes are all on the sides of the desk so I thought this would work OK. I bought two of the jars that match closely the dark and light of the oak. At this point I've got my desk stained with two coats of clear finish on it. Any opinions on using "Color Putty"?

Thanks again for your help...

If the holes are in an area that will not see any real use (sides are a good example) mix up some putty to a good match.
If the holes still stand out you can use markers to add some grain to match the surrounding wood, than apply another coat of clear finish to protect the repair job.

In my shop we make our stains from pigment,so when it comes time to do touch up etc.. I can create the needed color but in a thicker consistancy than the original stain. This will give me a perfect color match as well as the abiltiy to paint in the grain which also helps to hide the nail hole.
Another trick is to get yourself a set of colored pencils,they work great for touch ups.
Remember ,that often your touch up work will need to be done in layers.It's to hard to do all at once. Get the base color,spray a little clear over the area ,let it dry and then apply your next layer of color. repeat the process until you've reached your desired color match.

I'm trying to find a way to fill nail holes in Timbertech PVC decking. I'm laying two shades of gray. Have intricate design which prohibits hidden nailing. Thinking of trying the crayon hint but wondering if it will hold up to outdoor weathering.

"Thinking of trying the crayon hint but wondering if it will hold up to outdoor weathering."

Not very well.

These are products for interior use.

When you fill a nail hole, put another nail in the hole, then push a strip of tape down so the nail is sticking up and when you remove the nail you will have a strip of tape with a nail hole. This way you don't have a big messy smear of wood filler that creates a halo of filler impregnagted wood.
You'll see what I mean if you don't do this.