I wouldn't, not for an air filter. I don't think it's designed for oil, always felt like a different kind of rubber than rubber used around oil. Maybe there's a special kind of oil that would be ok, but I've never heard of using it.
I have heard of not disturbing the filter once in place, due to the rubber being some sort of memory stuff; of course after a number of heat/cool cycles I could see the rubber taking a set. Not sure if oil would be of help there (seems best to just change as required).