Oil pencils are made from pigment, wax and oil, then encased in wood. They're related to both coloured pencils and oil pastels (that is, the pastels made from the same ingredients as oil pencils but formed into crayons). Artists use oil pastels to paint, with the advantage being that you can use drawing techniques to create oil paintings. Oil pencils share this benefit, and they are also useful for detail work and are less messy. Oil pastels and pencils can be applied to the same materials you would use for oil painting or when drawing with coloured pencils.
Draw several sets of parallel lines in rectangular shapes. Use one colour for one box, two complementary colours (opposite on the colour wheel) for another and two analagous colours for another (related and close to one another on the colour wheel). Get a feel for how the particular pencils you are using lay down on the paper, their texture and the kind of colour they produce. Different brands don't behave alike.
Draw the same sets of lines using different pressures to see how hard or soft you might press and what effects those pressures produce.
Draw the same sets of lines, including the varying pressures, on different supports---different paper types, fabric you'd consider using for a project, wood and other candidates for projects. The pencils will behave differently depending on what material you use.
Draw small one- and two-colour patches of scribbles on the different supports, using circular motions.
Scumble the colours: Lay down one colour, then lightly scribble another colour over top. Scumble again, but for this attempt, spray a coat of fixative on the first layer, before lightly applying the second colour. In both instances, let the first colour show through.
Draw single lines or outlines of shapes on the supports you are experimenting with.
Blend the drawing experiments using a variety of the blending tools to understand how each tool will change the marks. Try, too, your fingers. The lines will soften, but still retain detail.
Dip various blending tools into solvent, then blend the marks to achieve a different effect than achieved through the dry-blending.
Apply a light wash of solvent on part of a fresh paper, then draw over it to discover how your pencils will react. Dip pencil tips into solvent, then draw.
Create marks to practice how to "erase" or correct the lines. Lightly scrape marks, then follow up with plastic eraser. Lightly scrape, then blot with the kneaded eraser. Lightly scrape, then pull up residue by dabbing with thinner. Lightly scrape, then cover with another colour.
Sketch shapes as an underdrawing before working up a subject with a compatible medium like oil pastels or oil paint.
Sketch lines or shapes to use as a resist with watercolours. A resist prevents an incompatible medium from colouring where lines or shapes have been laid down. A resist method many are familiar with is using a wax crayon to draw shapes on Easter Eggs before dying them. Avoid rough handling of the lines as you apply the watercolour to avoid smearing the oil pencil marks.
Sketch over watercolours to emphasise parts of a subject.
Sketch shapes or outlines. Mark places where broad colour is to be laid down.
Fix the underdrawing with spray.
Work up the oil pencil drawing as you might with coloured pencils. Use fixative to prevent layers from being disturbed by subsequent marks.
Spray at least one top coat of fixative to the final drawing to preserve the drawing against accidental smearing.
Spray fixative on the portion of an oil pastel painting you want to apply detail to.
Add fine details---say, light on the eyes or strands of dark hair.
Keep the experiments for future reference, noting the brand of pencil and how the marks were made or blended. Many techniques you might use with oil pastels are transferable to oil pencils.
Solvents can be toxic; use in a well ventilated area. Avoid contact with skin.