If the dents are really shallow,you can take an old towel and wet it,then wring it out as much as possible.Then take a wood burner or heat up a wide blade screwdriver or a narrow blade putty knife over the stove.Put a single layer of towel over the dent,and heat it for about 30 seconds with the blade,being careful not to burn the wood,or yourself.
What happens here is when the damp towel is heated above 212 degrees F,steam will be released and it will cause the wood to expand,there by filling the dent.You may have to repeat this a couple of times,but take your time and go slow,or you'll burn the wood.
Once the dent has expanded enough,let the wood dry,and sand it flush.
The stains from Home Depot will work just fine,but you will have to seal the stain to protect the finish.So you will also have to use something like a clear lacquer or a polyurathane.Just do a little research or checkout you tube for how to vids.
Steve B