Oil pastels, because of the wax and oil they are made from, adhere to almost any surface. They also never completely dry; keep this in mind as you choose a surface to work on. Paper, canvas, board, metal, and glass are all common choices, and paper is the most common. Different surfaces result in different textures, so experimentation is key.
When used lightly, oil pastels can be used much like traditional chalk pastels. Hatching, or the building of an image with lines, is one way to do this. Instead of solid areas of color, the image is built with parallel and crossing lines. Oil pastels can also be layered, either with a single color to create an area of high saturation or with multiple colors to create subtle blended effects. Oil pastels can also be blended with a q-tip, dry brush, or finger.
Painting techniques can also be used with oil pastels. As stated by illustrator Catharine Slade in her book "The Encyclopedia of Illustration Techniques," "although oil pastels have a thick, waxy texture they can be worked into with a solvent to produce thin, transparent washes." The paper can either be soaked with solvent prior to application of the pastel, or solvent can be applied after to turn the pastel strokes into a wash. Once dry, more oil pastel can be added and the whole process repeated. Stippling is another technique that works well with oil pastels. The color is applied one dab at a time and generally not blended to allow the colors to mix optically. Some artists uses oil pastels for the underpainting stage of a painting they finish with oil paint.
Burnishing is another technique that works well with oil pastels. A lot of pressure and thick application of the oil pastel creates a saturated area that can be scratched into to reveal the texture of the paper. Similarly, one color can be applied on top of another, then the top layer scraped to reveal the color underneath. Oil pastels can also be heated, either before application or (with care) on the paper. This creates a slick, liquid look to the final image. Because of their nature, the uses for oil pastels are limited only by your imagination and the effect you want to achieve.