Air filtration involves a lot of technical information to be sure, for anyone who wants to have a good basic knowledge I highly recommend studying up on the Clear Vue website. One piece of equipment I can sing high praises for is the clear vue mini cyclone--I plan on getting a full on big boy clear vue one day, for now I have 3 shop vacs, 2 Feins and one Festool with the Clear Vue mini's on the front end of them. after over a year of use the most intense used vacuum is one of the Feins that does duty on my lathe and one of my 2x72 belt sanders and I recently checked in the Vacuum canister and there was absolutely zero dust or debris of any kind that had made it past the cyclone to the vacuum itself--pretty impressive to me.
I also have a Jet ambient air filter and it does a pretty good job of picking up what the Point of Tool vacuum/cyclones don't--which is pretty significant in the big picture--if I forget to power up my Jet, I'll end up with a coating of thick dust all over everything.
All in all, I wouldn't recommend putting any oil into the mix--I don't think there's a real upside to it. This and $3 will get you a small coffee at liberal-Bucks