As I see it, there are three basic mark-making techniques when using oil pastels: line, blocked-in color, and blended. These can be used alongside one another, and/or layered.
Line is the simplest: you simply hold the oil pastel in your hand like you would a pencil and move it across the sheet of paper. You can draw a continuous line, stop-and-start a line, dab at the paper to create dots, or turn the oil pastel around and around to create a curved, crazy line.
How easily the pastel goes onto the surface depends on the brand of pastel (some are harder than others), whether it's the first layer of pastel you're applying or not, and how warm it is (the hotter it is, the softer the pastels will be). The surface of the sheet of paper you're using will also make a difference; rougher paper works better than smooth.
For blocked-in color, you use the side of the pastel, or a small broken piece, to lay down a larger area of color quickly. The aim is an area of tone, not one with lines. Depending on the surface of the paper you're using, this can be quite a textured result.
Blended oil pastel is where this medium really asserts its distinctive personality. You can blend the colors by rubbing over the oil pastel with something hard. A Colour Shaper works well, as does a rubbery handle of an old toothbrush or a very hard plastic eraser.
You can also blend by "melting" the oil pastel, for instance heating the tip of a palette knife or a metal teaspoon before applying it to the oil pastel. (If you do this over a candle, remember to wipe off any soot first!) And you can blend by "dissolving" the oil pastel with solvents used for oil painting. This can produce paint-like washes, and be used to remove pastel altogether.
Sgraffito is a technique that also works with oil pastel. Scratch into the surface with something sharp and strong enough to lift off the pastel, but not so sharp it'll tear the paper.
When you first start learning how to use oil pastels, be open to experimentation; try things simply to see what happens rather than focusing on getting a good result. And try not to think you're "wasting" your art supplies while you learn. If you find this worry does inhibit you, do small studies rather than big, so you don't use quite as much pastel. Also, don't throw away any failures or disasters, but use them for mixed media pieces (paint over with oil paint) or collage.
See Also: My Review: Sennelier Oil Pastels