I oil the outside of the slide with Hoppe's oil then wipe it relatively dry, but when wiping dry I don't rub too hard because I don't want to rub the finish off over time. I don't do it too often either. I also take special care to make sure the oil doesn't get onto the breech face or into the internals of the slide. Oil on the breech face can contaminate primers of chambered rounds, causing them not to fire properly or at all. Oil in the internals of the slide can collect more gunk and debris than normal, causing all sorts of malfunctions.
It's fine if you don't do it. With the Tennifer treatment on the metal underneath the finish, it won't rust anyway. At least not in your lifetime.