Sewing machine oil is good from my experience. I used vasaline (for bolts etc) for a while but from experience it didnt quite make the grade, and was a little too sticky if too much was applied. In fact when I first started with my own kit I had a few problems untll I started using sewing machine oil.
Also other than the obvious parts that are lubed, trigger, bolt etc on my cocker about every 2500 shots I have always put a single drop of sewing machine oil where the external reg screws into the gun (on the actual gun not the reg) then fire it 20 times or so. It just insures the parts you cant reach are lubricated (but not too much as this could clog it up).