Resist from using any lube at all I assure you that you will have problems later on, Like Mike said if you was to carefully and a little bit at a time to put a bend in the wire to mimick the bend of the outer sleave you will feel less resistance and so will the servo. Using gun oil may or may not have a reaction to the plastics or the covering or the wood for that matter. If anything if you wanna use a lube, use vaseline, just put a little bit on your fingers and then slide the wire between your fingers but do not use a bunch as the more you use the more it could, can, or will collect dirt and junk on the wire and then you will end up with this same problem later on and then you will have to take things apart to clean out the junk out of the wire sleve and that aint no fun.
Try bending the wire first before any lube is to be used you will be glad you did.