Finish is very different from paint in this regard, paint (particularly latex) builds much heavier and never really cures as hard as a good finish so it always feels grabby on sliding surfaces. The first coat of any finish doesn't really add any thickness as it mostly soaks into the would fiber. And unless you plan on adding some very heavy or numerous subsequent coats it's not normally necessary to allow extra clearance for your finish. If you need to put a number to it, a 1/32 of an inch should be more than enough to accommodate any finish. If your finish is heavier than that you're doing something wrong.
If you have problems with sticking after finishing it's likely a result of the pieces not being fully cured (which will make them act sticky) or not fully sealing your mating pieces which allows the fibers to swell and shrink undesirably. Seal them well but let them really cure out before inserting them in their grooves. You should also apply a layer of bee's wax to the mating surfaces to help reduce friction.
Really the job of creating smooth operating sliding components is done during the building process. Wood movement must be properly accounted for both in the construction and even the selection of stock. Mating parts should be of the same species (ideally from of the same board) to ensure they expand/contract at the same rate. Also, a piston fit drawer, for example, can take hours of meticulous fitting to operate smoothly so take your time. Nothing you do or don't do during the finishing process will make up for skimping on these processes, so spend the time getting the fit and construction right before you head to the finishing room. Good Luck!