That all depends on what kind of finish you want it to have. You can either stain it to another color or leave it as it is (I personally like it light). You also have the option of whether you want to varnish it or just use a sealer like Thompson's Water Seal to protect it from moisture and weathering. I personally prefer the look of varnish cause it gives it that glassy appearance but it really depends on what you want.
If you don't have a burning kit, you can still make one that looks like you made it with a burning kit. I made one with my family's last name on it. I took a board (whatever size you want) and used a dremal and wrote out my name on the board. Then I took some black paint and painted in the name. Once that was dry, I stained over the whole board with a nice medium stain and then sealed the wood with Poly when it was done. Viola! Looks just like a one that they sell for $50-$60 but without the price tag.