that's actually bailing wire, the oil is so it doesn't chew up the hay baler, i simply held it with a rag as i coiled it, but be careful, that can be dangerous, if you use a drill to coil your wire.
also i don't think this is the best site to learn about chainmail, below is a link to the best site possible on the subject. its complete with a library of tutorials, pictures, articles, and a ton of different weaves.
http://www.mailleartisans.org/
i may have just started smithing, but ive been making chainmaile for 10 years now, and this site is the best tool i could possibly ask for.