The flaming oils don't do that much damage - they are best used to finish off trolls, but if you have a few left, by all means use them on cold wights.
Cold wights are best beaten with spells and well-armoured melee fighters. I'll second Stratos and say that you shouldn't use many magical arrows on them - there's far too many wights and not enough arrows.
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Where there is a great deal of free speech, there is always a certain amount of foolish speech. - Winston S. Churchill
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