Oil on paper
This is my observation (albeit not grounded in science but observation).
First off, if you paint directly on paper with oil paints, the paint will decompose the paper. When starting out, I used to paint on archival mat board. I worked at a museum and there was always a ton of scrap. This was excellent for a free ground to work on, but the results did not provide good practice because the qualities were so different from the medium I evolved to, which was oil on canvas.
On unprimed mat board or paper, your paint sinks in immediately. To combat this, I ended up thinning the paints excessively, and wound up with oil studies that looked like watercolor studies. If you reduce the medium of oil to watercolor, you might as well use watercolors, which are archivally sound on paper, not to mention cheaper, less toxic, etc.. In other words, if you want to paint on paper, use a medium designed to use with paper. The painting lessons will still teach you about drawing, tone and color, no matter what the medium.
The other option is that you prime the paper. If you're using acid-free mat board, you don't need to stretch it first, but if you're using watercolor paper, you will. Then you can prime it with any acrylic primer or "gesso".
I've gone that route too, when I was very much at the phase of experimenting with a new-to-me medium (oils). But again, even when you prime or gesso the surface of the paper, the paints sink in excessively. Therefore, it requires a lot more paint to cover in a way that approximates the way the same painting would develop on canvas.
I guess the bottom line is, if you're a student and into experimentation, why not paint on paper? It's cheap at first glance (remember all the extra paint you're going to have to apply).
But a lot of progress has been made before by a huge body of painters; why distract ourselves with questions that steer us away from the work at hand? This is advice I give myself, also. Focus is very important, especially in a medium as complex as oil paint.
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