Good tips from Mike, a couple of comments:
When you're at the art shop buying your oil paints, I'd recommend buying a bottle of Winsor and Newton Liquin - there's two kinds, the "fine detail" is thinner than the "original" but otherwise they behave quite similarly. I find this is a good alternative to using spirits as thinner when doing glazes / washes (not pin washes) or filters or whatever you want to call them. The benefit is that, like spirit, it makes the oil paint dry faster, but it gives it, I think, an easier texture to work with. It spreads and blends more forgivingly and is less liable to streaking or breaking up the pigment. I find also you can use it instead of spirit to dampen your brush when you do the blending in point 4 of Mike's post - just a small amount, wiped off on something like a piece of card (for some reason I often use my hand...) - I often use old birthday / xmas cards for this, and for trying out your colour mix. Avoid using tissue or kitchen paper for that as I think you pick up fibres from them which then end up as tiny hairs on your model.
The other thing, relevant to using that product, and to oils generally, either thinned or unthinned with anything, is learning how fast it dries, and how it behaves at different stages of drying. Having applied some dots of paint for example, the way that paint will behave when then spread with a larger brush, depends on - how the paint was thinned, if at all, how much it has dried, and how much pressure is applied with the brush. This is hard to quantify as there are so many variables, but it is worth trying it out by say, applying some paint to a surface at several different points, then sweeping the brush across them at varying intervals.
If you sweep across paint that has only just been applied, you may just sweep it all off, or leave a very thin and subtle film. Giving it 10 mins you will find more paint remains but it spreads very easily across a large area. Leave it for 30 mins for example and you may find that you can now work the paint much harder with the brush but more easily attain a shaded finish - where the paint doesn't spread very far from the original application, so you get a strong fading from dark to light.
This might sound a bit obscure, but I think it is one of the things that enables you to get the effect you want by understanding how the oil paints work at various stages of drying, and how to control that drying speed, and when to intervene with the paint. The slow drying time, as Mike suggested, is both a pain, but is mostly what makes them so versatile and controllable.
You can always speed up drying times, especially in the winter, by keeping the model near the radiator (so long as it doesn't warp).