It sounds nuts: Slap some moisturizer on oily skin? Uh, sure, I'll get right on that. But oil and moisture are two different things.
Everybody's skin needs extra moisture. There are too many things out there -- from cold winds to hot furnaces -- that are busy stealing it from you. The best moisturizer for oily skin will be light and oil-free (bonus points if you find one with sunscreen). If the packaging says "rich and creamy," move past it -- it's not for you, and it may actually be salad dressing.
After that, all you have to do is put it on right, which is where most people screw up. The second you get out of the shower or finish washing your face, pat (don't rub -- pat) your skin dry and then smooth on the moisturizer while your skin's a bit damp so the moisturizer can soak in.