Never. I do not like using oil on saddles. Over-oiling a saddle can weaken the leather over time.
I use Passier Lederbalsam
2-3 times a year, or Beinenwachs Leather Balsam
or Effax leather Balm
. All three are deep conditioning products that soften and preserve leather without adding too much oil. They also help protect the leather form water spots. My area is really humid though, so I only use a heavy conditioner when needed. If you use the balms too much, you can also risk getting a waxy build-up in the crevices of the leather.
After each cleaning (usually once a month with Lexol cleaner) I will use a light weight conditioner to keep the leather supple. I like Belvior spray conditioner
, Hydrophane leather conditioner
, or Lexol leather conditioner
, in that order (Lexol is my least favorite, but it will do in a pinch).