Almost all of the commercial vegetable cooking oils dry up, turn nasty and get gummy and sticky as all get out. I tried Olive oil and it was ok. I use plain old supermarket lard now and like it. Cleaning after shooting is dead easy, my loads slide into the bore like they were greased (hee hee hee!) and it's incredibly cheap. I do like me some cheap.
If push comes to shove you can fry your breakfast spuds and eggs in it as well.
To grease my patches, first I tear my patch material into strips, 3/4" for small bores and 1 1/4" or so for .50cal. Then I warm the lard in a 6" frying pan, it doesn't have to be hot, only good 'n warm. Soak the strips in the liquid lard and squeeze out the excess by pulling the strip between your fingers. Then I lay the strips between layers of newspaper and press out some more. Store 'em in ziploc freezer bags. I burn the greasy paper in my fireplace, I don't like having it laying around, it's a fire hazard.
Three Hawks