The theory is sound in that the oil will repel the water thus 'preventing' (slowing down) rust. I have heard of this done when storing classic cars pre-restoration. I'm sure it won't hurt anything, I would just use a light weight oil so if it finds it way out onto the visible parts of the body (and I'm sure it will) it isn;t nearly as noticeable against the paint.
That said, I have not had any issues with fender well rust on any of my Fords, including an OBS truck which are notoriously worse than the newer trucks. I haven't had these issues because I am religious about keeping my truck clean. I don;t mean washing it every time a fleck of dust gets on it, I just mean I wash it frequently (once every two weeks as an absolute minimum) including the snowy and salty winters here in WV. In the winter time, if I don't have a chance to hand wash (yes, I hand wash year round, I've washed on days where I was spraying thin sheets of soapy ice off the truck...
)I will at the very least swing by a self service car wash and use the high pressure water to knock the bulk of the salt off the exterior but I pay special attention to the rust prone areas, inside the lips of the fenders, at the base of the front fender behind tire and in front of the door, and inside edges of the front and rear bumpers, these areas have supports and lips that LOVE to hold dirt.
When I wash the truck, I pay particular attention to spraying out the lip inside the wheel wells where dirt and moisture love to sit and generate rust. I also keep my fender wells and surrounding areas spray painted. I always start out with a good base of spray can undercoating when I first get a truck then just keep up the black with cheap-o flat black spray paint. I usually spray my wheel wells about every other month or more often if it starts looking bad. Hope this info helps