can't wait to see the paintjob! I have a strat that I've been building for years finally getting ready for paint myself
not sure about the danish oil. I like to have the neck finished for eaxctly the reasons you state. body oils will discolor and stain wood after a few years of use (especially if you don't get into a habit of washing your hands before you play) your body oils shouldn't have any effect on warping the neck, but not having a finish on the neck will enable moisture fluctuations in the air to have more of an effect on possible warping. (so would that be warpage?
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I prefer a satin (matte) type of finish on the neck myself, kinda like the finish on the strat pluses. keep me informed. I'm eager to see how it turns out