Does anyone have tips on how to fill the gaps between the molding and
wall since a flat wall does not exist? We've tried using various
types of caulk which does work great but its a magnet for dust that
sticks and is very hard to get off.

So far as the dust-magnet problem goes, it shouldn't really matter what
you use to fill the gap, as it should ultimately be covered by paint (so
whatever you use needs to be paintable).

We're thinking about switching to a wood look instead of painted, do
you have to do you varathain the caulk?

If you already have a gap problem with painted molding, switching to wood
will just make a worse.

I have put up crown molding in every room, and replaced all the baseboards
in my home. I buy DAP Elastomeric caulk. I caulk the joint, push it in
with a finger, then take a sharp putty knife and scrape the joint. Since
there is some shrinkage if there is a big gap, I do it again. After
painting, it is a perfect joint every time.

But even before that, scribing and light planing helps when installing it to
minimize any imperfections in the walls.