I have used PSOs and PSCs pretty regularly. Sometimes I'll skip the application & go right to lather. When I skip any oil or cream, with milder razors I don't notice much difference in overall 'feel' of the lubricating qualities. But when I use the more 'hyper' aggressive DE shavers— such as the R41 & Futur—the difference a bit more lubrication and protection is distinctly noticeable. With a straight razor, it's night and day—at least in my limited SR experience. The 3" blade glides much easier and my skin always feels 'better' when I have applied a good pre-shave oil or cream.
I have oily skin and so dislike adding more oil to my face, also I didn't want "oil " to get into my brush..So I started to use Proraso and/or Jack Black preshave cream and found they both worked "ok", but were rather expensive..So after reading a post about Corn Huskers Lotion(it contains NO oil) and then trying it out I now use CHL exclusively....For me at least it works as well as either Proraso or Jack Black, as a preshave cream but it's a "TON" cheaper!!
I was concerned about getting oil into my brush and gunking it up, as well. I've been using a PSO for about a year or so, no issues with my brushes at all.