vegetable oil does work with saddle leather;
But heres a downfall;
If you heat it up, it will darken your leather, I've done it before to tone out my saddle because I had bought it used and it was two different tones because well it was used. Its best, if you want to keep your saddle the same tone as it is now, to use either saddle soap, or just cold vegetable oil.
Room temerature vegetable oil will not change the tone of your saddle. It hasnt done it to me yet.