The only time I've oiled freight car axles in HO would be if I had one that was squeaking, which doesn't happen all that often.
I'll second the vote for LaBelle products, they've always worked well for me. As far as lubing a locomotive, I generally use oil such as LaBelle 107 or 108 on axle, motor and worm-gear bearings (just a drop is plenty), and a drop of gear oil on the drive gears in the trucks. The worm gear itself gets a bit of grease. With the slippery plastic used in most HO locomotive gears, oil works just fine and won't harden over time.