THE TECHNICAL STUFF
I remember reading somewhere that a marquetry expert said, "When I see a picture I want to know two things: what glue was used and what kind of finish." I think that is a good question and it is probably the product of lots of experience of trying different things. I have certainly done the same over the years before finding the winning formula. I would add another one - how was the picture actually pressed down to the substrate (the board it is bonded to.)
Having moved on from scraps of razor blade when I was ten, I use an Ernie Ives knife with size 10a blades. This is definitely the best knife for marquetry and it is just about the cheapest as well. 10a blades don't open out the grain like most other sizes so you get a nice clean cut, literally sometimes!
Although I hand over my work for laying , ensuring I have more time for the creative process, (and to be able to take on more commissions) I get lots of questions from people about what is the best advice for people who are not doing their pictures to sell, but as a worthwhile hobby. There are many great sources of advice, and you will not go wrong visiting the online materials of the Marquetry Society, http://www.marquetry.org or indeed joining the Society.
However for those who want my two penneth, here it is. I recommend mdf as the substrate, but always make sure it is prepared well, with some scoring and of course ensuring all the edges are perfectly straight. A useful tip is to scribble on it with a pencil before gluing - if you can just see the scribble through the glue you have done the right amount. I recommend titebond wood glue as it sets harder than the wood, allows some flexibility for movement as the veneer is placed down, but does not slip all over the place.
To ensure the picture is perfectly stuck down and not ruined in the laying get yourself a vacuum press. It does not cost a fortune and has even high pressure all over the picture, equivalent to the weight of three double-decker buses. If you keep the picture in the press for around 15 hours it will be stuck fine and you will still be able to scrape away any surplus glue before it dries completely. The company to use is Roarockit, who are now based in Europe as well as Canada, so the shipping costs are more flexible.
After sanding - first with a palm sander then mainly by hand - you may wish to use cellulose or acrylic sanding sealer to seal the veneers and even out the surface. I have made the mistake in the past of using too many coats, which can lead to crazing, so just use one coat and then sand down. You then have a choice of using cellulose, acrylic or polyurethane lacquer which can give a gloss or matt finish. I prefer matt. Just make sure the sanding sealer and lacquer are compatible. Also it is worth noting that some people dispense with sanding sealer altogether, but the downside of that is that you will need more coats to fill out the grain and get a good finish. Finally the finish is sanded down, ending with 1200 grade silicon carbide paper, then rottenstone powder and 1000 wire wool. Make sure the gluing and finishing are all done at a decent temperature, too hot or cold and it will affect the end product.