I keep the wood bare. I used to use boiled linseed oil to keep the moisture in and help distribute the heat. But the oil was a mess to remove later with sandpaper since it soaked into the wood, and it created issues if I wanted to glue a snakeskin backing on. I haven't noticed any ill affects by heating the bare wood. The wood will scorch either way if you get it too hot.
If I think I need to blast the wood that badly to make a serious bend, then it's time to just use steam. Dry heat is great for adding reflex, bringing a mildly off-kilter handle alignment straight, and other subtle corrections. But to remove serious kinks, make major bends, or add reflexed or recurves tips, then steam is much safer as the wood isn't nearly as prone to tearing apart.