Gary, the rule of thumb is to use dry heat on dry wood and wet heat on wet wood. You can bend the rules if you want, of course, but I don't recommend it.
As for using oil, all I can say is that I do not use it unless I'm going to apply an oil finish on my arrows as the last step. I have used oil before, but I've ended up scraping off the oil before I could paint or stain the wood. For me, it's an added step in most cases.
Hope that helps.