I would assume that you are referring to an anti-spatter compound and not an actual oil. These have been designed to minimize adherance of spatter to nozzles and surrounding base metal during the MIG welding procedure. There are a few on the market that claim to be the best and I can recommend a couple of brands that do actually work. Send me an e-mail if you need any more info.

If you are not using antispatter spray I would not recommend using it. There is no substitute for a properly set up weld with minimal spatter and frequent cleaning of the weld nozzle. I have found that most companies overuse it and it causes more trouble than it is worth. Rather than addressing the real issues such as proper maintenance of the nozzle and proper low spatter procedures, they use a band aid such as antispatter compound. Take a stand against the welding industry which will sell you a product to cover up process inefficiencies rather than helping you fine tune your process so you do not need it. Is it possible that they do not know???

Don't get me wrong, antispatter can be effective if used properly. But most cases in which I have seen it used, it causes porosity problems. When I came to the company I work for now, they were using it on a lot of work stations. I have eliminated the use of antspatter on most of our equipment and we are better off for it.

We don't normally use a lot of anti spatter sprays where I work but do on some occasions. It is true that if a welder is using the correct technique and weld parameters the spatter will be minimal. However, we weld a lot of "unique" stuff nd have found the anti spat has some usefulness. As already mentioned, you would want to use a compound made for the purpose, not just any type of spray oil. Similar to"weldable primers" there will be times when they cause problems.
We also find that nozzles will collect quite a bit of spatter inside of them and need regular cleaning. Anti spatter sprayed inside them will reduce the build-up. BUT! You must be sure to run some welds on scrap or something to burn off the excess before doing production welds. Petroleum jelly also works as a "Nozzle-Gel". Just run some welds to get the nozzle hot, dip the nozzle about 1" into the gel, and run some beads to burn off the excess. Doing this once a day is usually all you need.
I know that many people will be horrified to read all this but it works IF you make sure all excess is removed and what is left sort of bakes onto the nozzle. Then there is nothing left to get into the weld.

CHGuilford

Anti-Spatter sprays and Nozzle Dips are wonderful tools. While I was pushing a FCAW welding crew in a structural steel shop. I made sure that all my hands had those compounds on hand and knew how to use them. They pay for themselves 10 times over, in that enviornment, by reducing man-hours spent scraping BB's and cleaning/replacing nozzles & contact tips, greatly increasing nozzle, diffuser, and contact tip life, and in the long run, helping to prevent premature coatings failure.
All you have to remember is:
Spray Anti-Spatter around and below the weld joint to control BB's. Don't spray too much directly in the weld joint, but if some gets in there it won't hurt.
If you spray hot steel, hold your breath until it dissipates because the fumes will try to strangle you.
Start with a clean nozzle & tip, heat it up a little on a piece of scrap, stick it into the dip far enough to coat the diffuser, and then burn the excess on your scrap piece.
That will make your weldment and your MIG gun much easier and less time consuming to clean. Just don't over do it. A little goes a long way.