Oil is only an issue in two circumstances.
The first is when you buy cartridges that are not food-grade. They may or may not have residual oils in them. The solution, as others have said, is to buy food grade cartridges.
The second, and this is pretty rare, is when you're using a paintball tank that has been used frequently for actual paintball. It's possible that when your tank runs out of C02, negative pressure may cause some oils from the gun to get sucked back into the tank. The solution, to me at least, is to buy a new paintball tank dedicated to dispensing beer. They're only about $20.