Although it's possible to just about any paper with oil pastels, it's best to choose one with a toothy texture as well as a thick paper such as 120lb (or heavier) cold pressed paper typically used for watercolor. Given that oil pastels do contain non-drying oil and wax as a binder, thicker paper will alleviate weakening of the paper structure caused by the oil.
Given the non-drying oil used in oil pastels, that is also why it is not a good idea to use them as drawing tools for oil paintings - they will just smear and make it difficult for the lower layer of paint to dry effectively.
