Thanks to everybody that has replied.
I've tried finding mineral/paraffin oil in more than half a dozen pharmacists and traditional hardware shops, completely without success. Most reactions are bafflement or "no". The better reactions include "oh yes, we have some paraffin here" and "I should have some here, oh no it is gone"
Hence it looks like the most probable source would be online, which is a bit of a shame.
However, Real Life has intervened and so this is now on the back burner.
Currently (ho ho) I'm only likely to use the resistor to calibrate DMMs. In most cases they would pass 1mA, which equates to a 10uW dissipation; the worst case is 10mA / 1mW.
Given the size and surface area of the resistance wire, I doubt (without doing calculations!) that would result in a large temperature rise. In that case the principal value of any oil would be to stabilise the temperature and allow the temperature to be measured with a mercury thermometer inserted into the top hole. Hence I may just call it a day and use it without oil.
Nonetheless, the discussion has been interesting and I have learned a lot; thanks.