1. Use graphite only. Oil damages the paint and collects dust. I'm told that the graphite works better than the new white Teflon.
2. Break in the wheels by spinning them with lots of graphite. 
3. Put a small drop of white glue where the axle goes into the car body and put powdered graphite on it there. That causes less friction if the wheel should rub against the car body.
4. Once you've given the axles a good polish and sanded the wheels, dump the axles and wheels in a ziplock bag with some graphite and give them a good shake. This will make sure the wheel and the axles are as slick as can be.