I use some de-natured alcohol and a Mr. Clean Magic Eraser. The alcohol dries fast and doesnt leave any water residue. But then I immediately rub it down with some Mineral oil or even baby oil. I have to disagree with the polyurethane method mentiond above though... that will seal the stag and may cause more damage in the long term. (if a collectible knife, it will also ruin any inherent value of the knife)
Stag is porous and needs a little bit of oil to keep it optimal. It if dries out to much, then it may crack.
Edit: here is another site detailing the care of stag handled knives