I've been using Ballistol for a while - wipe some on the blade regularly and pour a few drops into the sheath, I doubt it's as effective as the products mentioned above but maybe safer to use on leather and to be in contact with your skin.
As mentioned above, it's always a good idea to store your Sgian Dubh out of the sheath to let the blade breath.
If all else fails then a titanium blade should resist corrosion better than any steel.