We made a woodburned sign for my FIL a couple of winters ago for Christmas for his new business.
I suggest practicing on scrap wood until you are comfortable, as the woodburning tool can be awkward to hold for long periods and to get the feel for it. Also, the type of wood makes a difference. I practiced on pine, and then burned on clear cedar - I think the grain of the cedar made it harder to work with.
What I did which made things so much easier for me, was to make my image on the computer - adjusting letter sizes, image sizes, etc, reversing it, and then printing out the mirror image on a laser printer. Then I transferred the image onto the wood, and was able to burn over the transfer. If you are new too it, you may just want something that is more linear/graphic, with less shading.
As for staining, that depends on what you want - it is easy to stain onto untreated wood and then when it is dried, clear coat it. If you choose a nice piece of wood to begin with, you may want to just clear coat it. You could also, if you are making a picture or something, tint the wood with paint, pencils, etc also - I used pencil crayons to add colour to a box I made for an Alice in Wonderland swap I did.
I preferred to usually keep it a light, unstained wood, to show the contrast of the burning more - but you could use a light stain too. I think I have used Minwax's Ipswich Pine, for example.
Of course, that would also depend on whether the item is hanging outside or inside too. DH actually finished the sign for FIL (it was a project we did together), and I know that he did some light sanding in between layers of clear coat to make it satin smooth. Same with a box we made for his grandmother.
I don't have the patience for that myself, but I think he used at least three coats of varnish, and with the prep for the final coat, he hand polished using a very very very fine garnet paper to get a satiny smooth finish. It was just so smooth and silky to touch.
But seriously, if you want to do it, it is fun, with very nice results, just practice on scrap so you know the feel of the pen, what is comfortable, and how long to move it to burn what you want.