I've cold blued dozens of firearms over the years, and wound up refinishing four rifles and three handguns in 2004 alone. I've hit just about every cold-blue product out there, and tried all sorts of application methodologies. What has worked best has been:
Prep the metal via wire-brushing and lightly sanding it with 400-grit sandpaper. BE SURE TO SAND AND BRUSH IN ONE DIRECTION. I do NOT get anal about chemically removing all of the old bluing, but a even blue tone does seem to come out best if the metal is as white as possible. Clean the metal with non-chlorinated brake cleaner and then with rubbing alchohol, and handle only with a rag from this point forward. Start with PermaBlue paste, applied with 0000 steel wool. I do NOT rinse it off with water - I just wipe it off after about a minute or so. I do about four applications. Don't rub too hard with the steel wool or you'll wind up with an uneven tone - you're just trying to very lightly buff the surface such that the cold bluing compound can 'work in'. You'll find that you'll frequently need to add new paste to the steel wool.
I follow that up with several applications of Oxpho paste, usually applied with a cotten rag instead of steel wool. Wipe clean (I like to hit it with non-chlorinated brake cleaner again to remove any steel wool fibers) and oil it. I have used most oils ranging from Molbil-1 to CLP; it doesn't seem to matter much what you use at first so long as you get the oil on it. Right now, I'm using an aerosol can of marine-grade lithium grease - I spray it on, rub it in, and heat it into the pores.
This whole process takes me about 2 hours for a long gun, but it seems to hold up well in the field and certainly is a bit handier than spending $100 and waiting eight weeks for my friendly local gunsmith (who really is a good guy) to hot-blue it.