To build a quick oil lamp, first get a mason jar, can, or bottle, or mold a tin foil tray to hold your fuel. Place a wick in the container (cotton balls work great, but any natural plant fiber will work). Fill your container with about an inch of fuel oil. You can use olive oil, paraffin lamp oil, vegetable oil, or even used cooking oil. Pure olive oil and paraffin burn the cleanest, with the least smoke. Other types of vegetable oil and motor oil will make more smoke. Light the wick with an open flame, such as a lighter or a match.