Pre-shave oil is not the most popular item with wet shavers. I too have put some on prior to shaving and felt that it did little to increase the protection of my skin while slowing the velocity of the razor. The problem is that oil and water do not mix, so the oil can't do it's job.
There's an easy solution: soap. Soap is soluble in water, and oil is soluble in soap. Use a very high quality facial soap without too many additional ingredients (creams and the like), soap up your hands, then add maybe a quarter sized amount of your shave oil. This doesn't have to be anything fancy, any light oil pretty much will do. I use almond oil. The combination of soap and oil will affect the shave, so as with most things in wet shaving, some experimentation is in order to find what works best for you.
In any case, the solubilized oil quickly penetrates and hydrates your skin. It becomes much more supple, and the razor is less inclined to cut you. Your soap or cream will lather just fine -- maybe a slight loss of volume, but it's worth it.
An assist goes out here to Charles Roberts, the much maligned creator of method shaving. I don't buy into the system, but this much at least works really well. He claims you must use a certain kind of soap, but I haven't found that to be true. In fact, I get results with one of those low foaming facial cleansers, unnamed, as I don't endorse products. Soaps other than olive or palm oil soap or whatever else he recommends definitely work, if you are lathering a conventional shaving soap or cream over them with a brush.
If you want to use shave oil or have been frustrated by poor performance in the past, give it a try. I don't always bother, but it works pretty well.