Hi,
I never oil collets at all, in fact if I ever have any issues I clean them with alcohol thoroughly. I'm of the opinion that oil/grease cause more problems than it solves.
I too use small tools, down to 0.2mm, but the shank of the tools is always 1/8th. If you are using tools with smaller diameter shanks then maybe you are correct, but I've never
had a problem with runout using 1/8 shanked tools.
Craig