While I agree with most of the above, I'd make the point that there is one virtue in a rosewood neck - you can work it much thinner than mahogany, and thinner than maple; if you want the skinniest neck possible, rosewood is the best option.
I've got an old guitar which has a one-piece neck and fingerboard. These must have been a nightmare to make, as the angle for the finger board section passing over the body has to be exact. Mass production methods made tricks like this viable, but you'd waste an awful lot of time and effort to make a one-off. As a related topic, cheaper Martins used to be made without back bindings, eg styles 15 and 21, but Martin discontinued these styles as it was harder to make the back and sides fit exactly, than to rout out and fit bindings (ie it cost more in labour than it was saving in materials).
My memory says that very early (ca 1950) Fenders did not have separate fingerboards, and Fender started using separate fingerboards as the process was automated.
Just a couple of helpful tips:
When trying to finish a piece of hairy mahogany, dust-spray a little clear laquer over it, let it dry, then sand down as desired. If it starts getting hairy again, you've sanded the laquer off, so spray it again, let it dry, start again.
Many guitars made in the twenties and thirties were made without truss rods to avoid Gibson patents - many of these had mahogany necks stiffened by cutting the neck in half and sandwiching the halves around a thin slice of ebony (or maple on the cheap ones). These necks were very heavy compared to modern necks.
When gluing oily hardwoods, one very old tip was to wash the surfaces to be glued repeatedly with benzene or toluene - you can't do this legally nowadays because these solvents are carcinogenic, but it might be worthwhile to try washing or wiping the surfaces with petrol, let the pieces dry thoroughly, then glue them. The tip came from the first book I read on making guitars, in the section on how to glue Brazilian rosewood fingerboards with hide glue.