If the scratches need filling, use the putty sticks they sell for filling nail holes in trim work. They come in a variety of shades and are like very hard crayons. Buy the two or three that are the closest to the shade of wood you need to repair. After warming the filler stick in your pocket or putting it over a warm lamp for a few minutes you rub the stick into the hole or scratch and leave a thick layer of the waxy pigment in the scratch. Take a clean soft cloth, such as a worn out t-shirt and vigorously rub the material on the stock, as if you were trying to rub it off. The rubbing will melt the material into the wood and remove the wax from the higher wood on the stock, leaving the hole mostly filled. You want to generate heat and rub very hard. After you have rubbed off the wax, look at the color. If the color is wrong, use another crayon to correct the shade. You can blend the two by rubbing them with a cloth. Most often the shades are a variety of red, black, brown, and yellow, and you can bring the shade of the wax to the color of the wood by adding the together. I've used a butter knife gentle warmed over a flame to trowel the wax into large holes.
If the scratch is actually a dent or a crease, you might try steaming it out first. Putting a damp cloth on the area may raise it. The next step is taking a small pin point and breaking a few holes into the finish to allow water in and applying a warm clothing iron to a damp cloth over the dent. Give it a couple of passes with a steam iron and put it aside for a day. The wood may just be compressed under the finish, and the water makes it swell back to the normal shape.
If it doesn't come up then you can try the wax fill sticks. They are like crayons, except the have much more pigment in them and don't melt as easily.
I learned this working on wooden shutters, not gun stocks, so take it for what it's worth. Once you start using sandpaper or steel wool you are getting into the finish and may be getting into a different project, such as a refinish job. If your stock is on a real valuable gun please see an expert.
