I would sand it a bit to avoid splinters.
I like Cuprinol Green spirit-based preserver. Apply at least three coats to clean dry timber after you have done any cutting, drilling or planing, per the instructions (wet on wet). If you treat it before assembly it will be easier to coat hidden parts and downward-facing surfaces. End-grain can be dipped in a tub. Timbers in contact with the ground need to be dipped, I forget the soaking time but it is on the can. Knots, cracks and shakes need to be very well treated, as this is where water gets in and rot starts.
At this time of year it will take a week or two to dry. Leave it in a well-ventilated place out of the rain, preferably exposed to sun. Be sure it has dried before you let kids touch it as it irritates the skin, and especially eyes, and smells a bit, until it has dried.
Once it is dry you can use a shed-and-fence stain which leaves a waxy water repellent film of any colour you like. If the preservative solvent has not dried, water-based stain will not stick.
