The best oils these days don't thicken much in cold temperatures nor get too thin in hot temperatures. There are a few made to meet military specifications and the military isn't big on products that won't work in extreme heat or extreme cold.
It's true that "wet" oils (oils that stay wet after application) will tend to attract dirt and grit which can contribute to wear. How much of an issue that is depends on how often maintenance/cleaning can be reasonably performed and on how adverse the environment is.
Oils, even the best ones, tend to not provide the same level of lubrication as even a light grease and have less of a tendency to stay put.
Greases DO tend to thicken with cold and can cause malfunctions. Greases also are not usually as good as oils for corrosion prevention because they don't penetrate into the nooks and crannies like a good oil will.
So what to do? Here's what I do, for whatever it's worth.
I use oils for rust prevention on internals (light coat so there's not a lot of dirt pickup). I wipe pretty much any internal part down with a light coat of oil and that does double-duty as a rust preventive and light lubricant.
For external surfaces prone to rust I rely on frequent wipedowns, usually with a silicone impregnated cloth. That prevents a lot of dust/debris pickup, at least on the exposed surfaces. I wipe the gun down with a good gun oil when I clean it and then use a silicone cloth in between cleanings.
For light duty lubrication I rely on oils, usually just the light coating put there for rust prevention.
For heavy duty lubrication--where there are obvious wear points, I use a light moly grease I make myself from Breakfree CLP and very fine moly powder. The Breakfree is designed not to thicken excessively in cold (it contains the same synthetic oil as Mobil 1) and the moly is a dry lube that is unaffected by cold or heat. In addition, moly is a very good steel-to-steel lubricant. It tends to stay put when mixed with a light gun oil and there's very little required to do the job.
