It depends on type of oil you want, if it's an essentiel oil we must use an hydrodistillation (clevenger), but if it's vegetable oil you have to use Soxhlet, soxtherm, ultrasonor, microwave, supercritical fluids...., while the edible oil can be extract by machines used for it (cold or hot pressure). All these methods do not give the same extraction yield.
In general oils are non-polar compounds,so according to the rule ( like -dissolves-like).you have use non-polar organic solvents e.g. n-hexane or petroleum ether using soxhlet apparatus. Also you can use ultrasound bath (sonication).