A friend of mine insists that you should use [any] oil (he uses olive
oil) when using a hacksaw. He says that it keeps the blade from
wearing out but does not impede the cutting.

I just can't quite understand this. I understand that the blade's job
is to have the teeth bite (and not wear through the item via friction
heat) but it just seems to me that oil will make it nearly impossible
for the teeth to grab hold of the item.

Can anyone shed light on this?