As John Lucas said, sharpen on a grinder. Preferably a slow speed (1750 rpm more or less) grinder, definately with a white wheel (not gray). Woodcraft sells one for $80-something, Lowes has an 8" Delta that's pretty nice for $129'ish. I recently started turning and got the one from Lowes and it is working well for me.
There are some pretty good videos on youtube that show how to sharpen lathe tools. Most folks use a jig. Since I spent my whole wad on the lathe, chuck, and tools, I'm freehand sharpening. It is working just fine and they're plenty sharp.
You'll want to get fast at sharpening and not spend crazy amounts of time on it. You'll be sharpening quite often, often more than once during a project. Taking half an hour to sharpen is impractical. I walk to the grinder and in 20 seconds I'm done and turning agian.
As for the oil, my Crown's didn't have oil on them when they came. I'm sure some WD40 would do just fine to clean them off and protect them.
I bought the Teknatool Nova II chuck on sale at Woodcraft for $149 (last week, may still be on sale). I can't speak about the others but it is working well for what I've used it for thus far.