yes, you should wipe it down with a light coat of oil (just like soilarch said) make sure that there is not alot of exess left over...you do not need to plaster your gun with alot of oil either. I did this once and dust collected on the thick oil and eventually rusted it in the spots where the oil held the dust. needlesss to say I was upset.
another thing....alot of guys like to oils the wood on there guns (because it makes them shiny) dont do this...After some amount of time it could cause your wood to weaken, crack, or ripple... this would not be good either..

I like to wipe my gun down very thoroughly making sure I get in every crevise that I can...also I like to oils moving parts ( the bolts, ejectors, and even the safety) after the thorough oiling, I go back over it and make sure I wipe off heavy excess oil and then I put my gun away. I havent had any trouble with rust since I started with this method ( I also like using rem oil) good luck with the oiling and keep those babies rust free