I change my blades every Sunday. I could probably go longer, but at $0.16/blade it's no loss. Some blades really nick the crap out of me and I'll throw them out that day. Some blades seem to go much longer without dulling. A dull blade will tug the skin a bit.
Shaving with a safety razor is very similar to a cartridge razor in prep. The only difference is the blade angle and that you DO NOT apply pressure like you do with a cartridge.
I have no experience with shaving oil, but I can say that once you use a good brush and cream/soap, you'll never go back to canned stuff.
A good place to buy these products is Lee's Razors
. Also, a great place to buy homemade soaps and creams is Saint Charles Shave
. Her shaving soaps are fantastic and pretty cheap too.
RightBastard - light facial hair is a blessing, not a curse.