New bike and wheels? Are the rims old? What kind of rims (size, brand, model)? Silver or anodized black or gray? Machined sidewalls?
A good procedure is to pick the grit out of your brake pads, then rub them with sandpaper. If the rims feel rough, smooth them down with steel wool and then clean them with rubbing alcohol. Or just use the rubbing alcohol to clean them. How often you have to do that depends on the roads you ride on. Losing bits of metal from the rims constantly isn't a good thing. Rims do wear thin from braking with gritty pads. Eden had a rim explode after it had worn too thin. If this is an old rim, you might think about replacing it soon. If it's a fairly new rim, then I'm not sure what to tell you, except to clean the pads and rims as soon as there is any indication of grit in them, and watch your rims carefully.
Oil is good, grease is better.
2007 Peter Mooney w/S&S couplers/Terry Butterfly
1993 Bridgestone MB-3/Avocet O2 Air 40W
1980 Columbus Frame with 1970 Campy parts
1954 Raleigh 3-speed/Brooks B72