Out here in silicon valley we're technically living in a desert. I have to lather one section of my face at a time. Otherwise it dries out before I get to it... But I still oil my blades almost every time after shaving.

You can't beat WD-40 for rust prevention and now they have those little WD-40 No-Mess Pens. It looks like a big magic marker with a cap. It has a hard magic marker type of tip so there's no aerosol overspray. Of course it costs about 10 times as much as the spray WD-40, something like $5 for a 0.25 oz pen, but that lasts a really long time when you're just painting a razor. I paint a blade and then wipe it once with a piece of toilet paper. wipe it once more when I get it out to use it again.