For that "furry" feel, use a micro-mesh with the finest wet-dry sanding grit. You can get it at Rockler and other woodworking stores. Go lightly.
Some folks have used steel wool, but that will be attracted to your pickups, and cause other messes on the guitar. Micro mesh is good stuff, the grit doesn't flake off easily as with sandpaper, and it lasts forever.
Use it very lightly, and follow up with - believe it or not - furniture polish sprayed onto a cloth, not directly onto the neck. This is what the Support page recommends, and it works. Go with the grain so you don't raise more fur.
They use Behold furniture polish at the factory. At one time they recommended Pledge. The Private Stock Department even uses Behold to seal fretboards I'm told.
I've used both on my rosewood necks in the past (I don't have a RW neck PRS currently), and they do the same thing. It'll seal the neck, and slow down future furry feel stuff caused by the moisture in your hands.
If the neck also needs cleaning, use the PRS fretboard conditioner, or any lemon oil, first. Rub a little bit on, and rub it off with a clean cloth. PRS recommends their own product, so you might want to stick with that to prevent any future warranty/support issues since their support page says to use their conditioner.
