Hi Jim,
The cylinders and pistons certainly would need to be oiled for extensive running on air.
Most exhibitors would fit an in-line mist lubricator, as used for small hand held air tools.
They would also use a light grade of oil, such as thin hydraulic fluid, rather than steam oil, which is far to thick.
Bearings and external pivots etc would be oiled using an oil can, the same as for steam running.
Hope that helps.