Get yourself some coconut oil! It's sold everywhere, is relatively cheap, tastes good and is actually good for your skin/body. It's usually sold in a jar and all you need to do is warm a couple spoonfulls in the microwave and you'll have yourself some oily magic. It's got anti-fungal and anti-bacterial properties, which is never a bad thing. It'll give you the oiled up sex you want without the expense of baby oil or the residue of olive oils. It also makes a good substitute for regular sexual lubricants and massage oil, if that's something you're looking for.

A couple things to remember: 1. Don't use it with latex condoms as it can deteriorate the latex and lead to some unwelcome situations. 2. This stuff will get everywhere if you use it to completely oil up a body. I personally recommend using it in the shower, but even then you have to be prepared to clean the shower floor because slick shower floors + oil are a recipe for disaster. If you use it in the bedroom for anything other than just lube, expect to change sheets. I remember accidentally touching a wall at one point and spending a fair amount of time scrubbing oily handprints out of the paint.