As mentioned, the wet steam in these pretty much "lubricates" internal areas on its own, so all i use is a few drops of Wilesco oil before startup.
(On toy engines that is, other models get 320/460 steam oil.)
I find it much more important to keep bearings and connections oiled, with a good automotive lubricant like synthetic Mobil1, as it is in those parts i´ve found the biggest wear during the years.