I don't usually oil the grates before cooking. Most meats don't seem to stick when cooked at "low and slow" temps, but I've never been bothered by the little bit of chicken or ribs that does stick on rare occasions. When I have done it, I used a non-stick cooking spray like Pam.
I've also tried Pam to see if it made cleaning the grates easier, but I'm not convinced it did. You'll have to try and decide for yourself.
Regard,
Chris