Oil paints are great for representing dirt, grime, oils, slime etc. The very nature of the paint is such that it mimics these effects very well. Oil paints are also easier to blend as they have a much longer drying time than acrylics (paints such as those produced by GW), meaning you can produce much smoother colour gradients much more easily. Oil paints can also give you extremely clear colours; for example, white oil paint is extremely bright compared to most acrylic whites and so is excellent for use where whites need to almost "glow" (such as in power weapon effects).
On the use of oil paints
Oil paints must be thinned prior to use - they come in the form of very thick "toothpaste" consistency. Generally turpentine or turpentine substitute can be used (both of which can be purchased relatively cheaply from any good hardware/DIY store). The problem comes in that the thinners for oil paints WILL EAT YOUR ACRYLIC PAINT IF IT IS NOT PROTECTED.
Varnishes must therefore be applied to any model BEFORE and AFTER the application of oil based paints. When selecting a suitable varnish, it is important to remember that gloss varnishes will tend to cause the oil paints to run more easily into crevices and corners, whilst matt varnish allows the oil paint to adhere more readily to larger, flat surfaces .
Also note that you may require special or different brushes to use with oil based paints, and you should certainly try to have a set of brushes just for use with oils (as oil and acrylic paints don't play well together and any oil residue on the brush will mess up your acrylic paints). You can also use natural bristle brushes with oil paints (which you CANNOT do for acrylics, as they damage the natural bristle brushes).
Oil paint techniques
Oil paint washes
Washes are relatively straight forward to create. Simply add a small quantity (generally a pea sized blob will be sufficient for a single model) of oil paint to a palette (an actual artists palette, a gloss wall tile, piece of flat plastic, etc). Then, using a pipette, add 5-10 drops of thinning agent (turpentine, white spirit, etc). Using a tooth pick gently mix the thinner and oil paint together. Once well mixed, it is advised to use a brush to continue mixing the wash to ensure that there are no lumps of oil paint left in the mixture.
Test the washes thickness by drawing the brush up the side of the palette well. Add more thinner as required.
For an example of how to use oil washes, please visit this article: Oil Washes
nuclealosaur also has a youtube video which demonstrates using oil washes. You can also check out the thread he posted with it if you have any questions/comments. Additionally, you can also view this video on how to create oil washes.
Uses of oil paint washes
Oil washes and pigment powders
Optional steps include the addition of pigment powders (weathering powders) to the wash which will give extra colour and texture to the wash when it dries. Rust pigment is excellent when combined with burnt umber to give very good rust effects. Various earth powders can also be used with brown/tan oils to replicate dust, while black pigment can be combined with black oil paint to replicate soot and other smoky deposits.  
Random rust spackles
Random rust spackles are simplicity itself to create using pigment loaded oil washes. Create your rust mixture (for example burnt umber, rust pigment and white spirit), load a brush with the mixture and flick the bristles so that paint randomly splatters the model. Plain thinner is then airbrushed onto the rust spots to "diffuse" the speckles. If an airbrush is not available, you may be able to replicate the effect by "painting on" a layer of thinner prior to spackling the model, though this may have to be done on small sections at a time as thinner evaporates quickly. Alternately, thinner can be applied after spackling using a brush loaded with plain thinner, touched directly to each spackle.
This technique can also be used to create random dirt/any other colour/material spackle you care to create.
Dots of oil rust wash are applied to rivets, plate edges etc (anywhere that you want rust to run from). The "Oil Softening" technique (below) is then used to create rust "runs" by allowing the thinner to partially evaporate before gently "pulling" the oil paint in the desired direction. This technique can take time to complete satisfactorily, so do not attempt to add oil paint to all the rivets on a vehicle before you begin softening - experiment to find a pace that works for you. 
Alternately, you can apply un-thinned oil paint to the rivets and then use a brush loaded with thinner to create the streaks 
If using in conjunction with the rust spackling technique, it is best to use this technique second, unless you varnish the model between methods.
Oil paint washes are also exceptionally good at creating "heat weathering" on metal components such as exhaust pipes/gun barrels/etc. Using layers of wash from yellow through red to purple (with purple being used on the point closest to the heat source), it is possible to easily create the subtle colour graduation required for this effect to look convincing.
Softening oil paint washes
Oil paints can be softened, or blended even after the thinner has dried. After the application of an oil wash, allow it several minutes for the thinner to dry before taking a clean, soft, dry brush and using it to feather the oil layer to create a smoother, softer interface.
This technique can be used to replicate rust/dirt runs from rivets/etc down the side of vehicles. Apply a dot of the wash to the rivet and allow the thinner to partially evaporate before gently "pulling" the oil paint in the desired direction. This technique can take time to complete satisfactorily, so do not attempt to add oil paint to all the rivets on a vehicle before you begin softening - experiment to find a pace that works for you.
Wet Blending using oil paints
Les' wet blending video
Wet blending with oil based paints is similar to wet blending with acrylics, however, due to the long dry time of oil based paints it is a lot easier to wet blend using oils.
Filters and 'scrubs'
This technique is best applied to vehicles and scenery. Similar effects can be accomplished on mini's using washes. It is a great way to add color complexity and subtly effect the tonal mood of a model.
In the real world colors are rarely as simple and flat as a models painted surface. Layering, reflected light, shadows, dust, and complex materials give real world objects subtle variations in tone that cane be lost on a miniature or model. An oil filter 'scrub' can be used to add some of this complexity to a model.
Choose 2-3 colors of paint. Apply small dollops over the model. Then soak a rag or sponge in thinner and start 'scrubbing'. The goal is to dilute the paint, scrub it off, and scrub it in. Work in small circles so as not to just spread the colors evenly over the entire model. You should keep scrubbing until there are no obvious spots of color. The goal is not to 'paint' the model, but apply a multitude of subtle 'filter' layers to the model to increase the complexity of the paint job, adding depth to the color.
As for color choice, you can really use any colors. Both bright and dull colors have a place here. There are two approaches to consider:
When filming movies filters are applied to slightly change the mood of a shot. A blue or purple filter might be applied to make things seem cold, magical, mysterious, or sad. Green for eerie and alien, or sick. etc. Dark filters like brown or black may be applied to make a shot more gritty or dirty. A mood filter on a model can greatly influence its tone.
Consider the environment of the model. If surrounded by florescent lights, or it is supposed to be night, a blue filter might be applied. If there is lots of dirt or sand a brown or yellow filter may be appropriate. (brown or black filters are almost always appropriate).
Ideally you would combine these two techniques (hence the 2-3 color choice).
Blending oil paints
Basics of Painting Figures with Oil Paints - a general how to for blending with oil paints 
Video of how to paint figures with oils 
Mixing Recipes for oil paints
Your oil paint brushes
Types of brush
- Flat: This brush has a clean, straight edge for applying color evenly to an area.
- Bright: A bright is similar to a flat, but it has shorter bristles and makes a distinct calligraphic mark.
- Round: Used for drawing and any type of line.
- Filbert: Filberts are almond-shaped brushes that make an oval shaped mark; they are a cross between a round and a flat brush.
- Fan: Used for blending and textures.
Cleaning oil brushes
- Wipe off any excess paint using a cloth or soft tissue. Gently squeezing the bristles from the ferrule edge outwards with your fingers, or with a cloth, will help remove paint from the brush. But be careful to avoid pulling on the bristles.
- Rinse the brush in turpentine or oil if you've been using oils or lukewarm water if you've been using a water-based medium. Never use hot water as it can expand the ferrule, causing the hairs to fall out.
- Wipe it on the cloth again to remove the last of the excess paint.
- Wash gently using a little bit of mild soap (or a gentle dishwashing liquid). Dab the brush gently onto the piece of soap, then work up a lather in a small container (or the palm of your hand if you're not using any toxic pigments or solvents).
- Rinse and repeat until there's no trace of any color coming out. Over time a brush may become stained, but don't stop rinsing until you're sure there's no paint left.
- Rinse once more in clean, lukewarm water to remove any traces of soap. Shake off the water.
- Use your fingers to gently shape the brush head into its correct shape.
- If necessary, wrap the bristles in a piece of tissue or toilet paper while the brush is still wet. When the paper dries it'll contract, pulling the bristles into shape.
- Leave brush to dry at room temperature. Ensure it's not resting on its head as it will then dry misshapen. Standing it on the back of the handle works well.
- If you're worried about the toxicity of the paint you're working with, wear gloves while painting and cleaning your brushes. Also if you find the paint is drying out and cracking, or staining your skin.
General tips for brush care
- Always use separate brushes for oil painting and water-based medium. After all, oil repels water. Also use separate brushes for varnish, gesso, and masking fluid.
- Don't let acrylic paint dry on a brush as its water-resistant when dry. But also never leave a brush standing in water.
- Never use a lot of pressure to force paint out of a brush. Be patient and rinse it several times.
- If your brush is made from natural bristle, you can soften it by dipping it in clean oil (the one you use as a medium) after you have cleaned it.
- Misshapen synthetic brushes can sometimes be reshaped by soaking them in hot water (not boiling).
Oil paint brands
- Mig Productions 502 Abteilung Model Oil Colour Range
- Van Gogh oil colours - "I have found these to be a reasonable oil paint range and they are available reasonably cheap from most art supply stores" 
- Winsor and Newton "Winton Oil Paints" - "I've found it to be a little too grainy when applying to large surfaces" 
- Windsor Newton "Water Soluable Oils" - They have a compound in them that lets them mix with water, but they will also still mix with Turpentine too. "These could be awesome as the clean up is sooooo much easier." 
Windsor and Newton Artists' Oil Colours is their premium line and current *the* choice of larger scale figure modelers such as those who frequent Planet Figure or Historicus Forma 
- Matthiew Fontaine Miniature Mentor - has some oil painting tutorials.
- CMONs GMM studios - covering airbrushing, weathering (sponge, mask and oil) and more.
- Youtube oil weathering videos
- White Spirit
- Daler Rowney soluble matt varnish - can be thinned and applied with an airbrush 
- Johnson's Klear - A water based floor varnish - can be used as traditional gloss varnish or added to acrylic paints to alter performance and properties and used as setting agent for applying decals 
General tips and tricks
- Drying time - Oil paints take a lot longer to dry than acrylics. This means you may need to leave your work overnight to dry before you can seal it, or work on the next level of detailing.
- Burnt Umber - This colour is extremely useful in creating washes to replicate grime, rust and dirt 
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- 14 http://www.dummies.com/how-to/content/choosing-brushes-for-oil-painting.html
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