exposing oil to air is fine. If you are drawing out of a vial you'll need to expose it to air anyway, because if the vial is full of oil and you keep drawing oil out you will build up a vacuum in the vial. So when you put the needle in and the vacuum is strong enough it may suck some air in through the septa around the needle. Generally what you do though is if you are going to draw 1mL of oil, you start by getting 1mL of air into the syringe and pushing that into the vial and then you draw up 1mL of oil. This is how you maintain equal pressure in the vial and it'll be a lot easier to draw the oil than if you had created a vacuum.
Anyway air = ok. So changing needles = ok. So i hope you are doing this and not shooting with dull needles.
I've never preloaded syringes... Sounds like a hassle, I'm assuming you are using a multidose vial and if not you probably should be. If you've got amps then that sucks.