Rapeseed oil works well, but will get thicker with each use until it is like golden syrup.
Funnily enough for small parts I use a half-full golden syrup tin, as you can use the lid to stop the smoke/extinguish any flames.
Do work outside, it's a smelly business.
Used engine oil can be heavily loaded with carcinogens, you don't want to inhale that smoke.
Rapeseed oil works for oil blacking as well.
Neil