This is my machine - it is a Janome DXL603.
I've never tried oilcloth on anything else so obviously everything relates to this machine. Despite hints and tips I have read, I've found I don't need to adjust tension or any other adjustment. When making bags the vast majority of the time I am sewing on the reverse of the fabric (the only time I sew on the shiny side is the handles or for topstitching) so it sews no problem. The only time it gets harder is if you are sewing on the 'shiny' side of the fabric - in this case you need to use a Teflon foot, otherwise the foot will stick to the fabric as you go along - I got quite a cheap foot from Ebay but you can get them most places, when sewing on the reverse then a normal foot works ok. If the shiny side of the fabric is running over the base of the machine,then it can stick there too. When I am top-stitching on oilcloth, I find that it looks better and sews well if I make the stitches a little longer - I have them at 3.5 on my machine.
I have seen a suggestion of using masking tape to fasten a piece of oilcloth shiny side down to the base so the fabric will just roll over the machine
However on my machine I can remove the front piece so I just take that off when sewing oilcloth to prevent sticking.
I always use a denim or Leather needle when sewing oilcloth, if you have to take any stitching out of oilcloth, it will leave a 'scar' on the fabric so I try to avoid it as much as possible. For this reason you shouldn't use pins - when cutting out the fabric I use Pattern weights,
When I First started sewing oilcloth I used these binder clips to hold the fabric as I sewed, they work great and if that is what you have around will do the job, however I did find them quite bulky so I wanted to try something else.
I now use these Clover Wonder Clips and they are much better, there only seems to be a couple of places in the UK which sell them (I had them posted from the States) but they were well worth it.
I have also heard of people using paper clips which I have never tried.