I use grease AND oil on everything. Basically, I do this:
1. Starting with a detail-cleaned firearm, apply grease to all manufacturer-recommended lubrication points. Just a thin layer is all you need.
2. Before going to the range, apply oil to all manufacturer-recommended lubrication points, using a very small amount (about 1/2 the amount you would normally apply to a dry firearm).
3. At the range, all dust, grime, and fouling will collect in the oil. Simply wipe the oil out afterward, leaving the grease. If the grease has collected debris or is wearing away, see step 1.
So basically, the firearm is ALWAYS lubed with grease (for long-term lubrication, ensuring that it will function properly after sitting around in-between range trips. However, before the range trip, oil is added (to collect debris and make cleaning easier, as well as to reduce wear from the hundreds of rounds I usually put through it at once.)