I've done it both ways. The last time I had to replace a single injector, I did not drain the oil line. Once the new injector was in, I turned the motor over (by hand) with the glow plug out. Then waited a few minutes, then cranked the engine over with the starter. Replace the glow plug, then crank the motor over for about 30 seconds. Button the motor back up, then crank the motor over for another 30 sec (both times done at the solenoid).
If you've never done this before, take the safe route and drain the oil line.