I use an inline tool oiler, which I got off off ebay for $10 plus $5-6 for shipping. It doesn't hold a lot of oil but if you use power tools a lot you'll have to fill it up maybe once a week tops. A couple of years ago I was experimenting with fiberglass and spent an entire day sanding the bondo I skimmed all over the place trying to fix imperfections. My air sander ran probably about 6 hours that day out of the 14 hours of project time, and the tool oiler still had a little left.
Like PorscheDude, I use ATF. I'm cheap so I pour in used ATF
If you're going to use a tool oiler I do recommend that you put a "T" fitting just before it with a female quick-connect so you can tap the air supply just before the oiler if you do any painting. Use an air hose that's never been used with oil. Oil and paint, well, you know ... "fish-eye" city.