How to get an oily mouth feel

Rye malt does exactly what you describe. Use 10-20% of your total grist as rye malt.

For a thicker mouthfeel there are several options.

1. Flaked Oats or Barley will give a creamier, smoother mouthfeel. These will need to be mashed with base malt. Keep that in mind if you are an extract brewer.
2. Mash at a higher temp. This results in more residual dextrins. When done right the residual body can be quite noticable. Done poorly and the beer will be overly sweet in the end.
3. Using Lactose can also create a creamy mouthfeel perception (1 lb/5 gal). Results in a slightly sweet finish as well. Not point 2.

While I still don't call these things oily, I get your gist (I hope). I think you'd be surprised that many of the beers where you experience this phenomenon do not have some sort of over the top recipe addition or technique change to the brewing process. I well brewed big body stout will just happen on its own with a proper recipe and grain bill.

If you add flaked oats to your recipe they will add a silky/oily texture to the beer. You will only need about 1-2 pounds per 5 gallon batch depending on OG. If you do use too many they can have an adverse affect on head retention.