First, remember it is your shave and the experience you enjoy most is ALL that matters. I think we all search out and try different products and in doing so have run across PSO at some point. I would suggest changing the story a little. Don't try pre-shave oils because you are hopeful they will improve the shave rather because you hope it will improve the experience by bringing more enjoyment. Do you need PSO to get a stellar shave? NO.
I agree with the suggestion to either make your own or find one on discount (a decent beard oil works well as a PSO) and give it a try. A few examples of oils you could use as a pre-shave- grapeseed, sunflower/safflower, jojoba, coconut oil. I think most artisan PSO's are a combination of those I listed. If you have coconut oil available you might try putting it on immediately after your shower whether you plan to shave or not, it will improve your skin condition over time.
If you watch Barber Dave's tutorials on straight razor shaving and prep you will note that he uses a hot towel and light application of lather to stimulate the release of sebum (your natural oils). Clearly a little bit of oil on the skin and beard before lathering up is a good thing. Of the oils I listed Jojoba is the most like your natural sebum so it would make sense you could use a little to simulate that barber hot towel trick. The hot towel and rubdown does more than just release oils, it softens the beard and hydrates the skin...both key to a good shave. *I understand hemp oil is also a natural mimic of sebum, possibly better than jojoba.
If you are searching for ways to improve your shave I suggest a simple pre-shave soap. A $1 bar of glycerin soap will blow your mind. Wet your face and lather up with your hands, rub and rub until you get a good amount of lather built up. If you bowl lather you can leave the glycerin soap lather on your face while you whip up a bowl of lather, if not just leave there a little bit them rinse lightly. Don't try to remove all the lather just rinse to remove some and wet the face and begin to lather on your face. If you use a glycerin soap and leave the lather on your face for too long you may feel a drying effect, that is typical of a glycerin soap because the glycerin actually starts to draw moisture from your skin. Another GREAT pre-shave soap is Williams mug soap. You can get a puck for about a buck and it will last forever. Do the same thing, lather by hand, rinse lightly and lather up. In my experience the pre-shave soap is better than the PSO's. Why? because washing and lathering up before you actually lather for the shave ensures your beard and skin are well prepared.
Others have already mentioned but its worth mentioning again. in most cases the use of a little bit of PSO may or may not help but it rarely hurts.
EDIT: Dkeester mentioned Shave Secret. I have used that and found it to be slightly thicker than most artisan PSO's (only slightly). It smells nice and does make for a slick surface when it is applied then wetted. DO NOT trust Sheve Secrets suggestion that you can use shave secret without lather. Yes, it gets wonderfully slick when applied then splashed with water and it is a little thicker on the skin but it doesn't compare to a lather.