Use a multimeter on the volts DC range to start with.
Meter negative lead to a known good earth check, with the ignition ON and the warning lamp removed, for battery voltage on one side of the IGN lampholder. Once you have established that the battery voltage is present at the lampholder move the meter negative lead to the other side of the lampholder and check the battery voltage can still be measured.
If on the first test you cannot measure battery voltage you will have to check back on the circuit until you can measure it, but if the oil light works as you say I would assume it to be there if not there could be a break on the PCB.
If on the second test it is not there you will have to look at the continuity of the connection to the alternator. Disconnect the three pin alternator plug and refit a known good lamp, earth out the alternator feed lead at convenient points and see when the Ignition lamp illuminates. Start nearest to the dash and work down to the alternator. The lamp will light when there is continuity to earth, so if it does not come on then the fault will be between the test point and the lamp