I simply copied /usr/share/themes/oxygen-gtk/gtk-2.0/gtkrc into ~/.gtkrc-2.0 and my GTK applications started using the theme.
If you're running Slackware64 with multilib, you might want to create a compat32 package from oxygen-gtk-1.0.4-i486-1alien.tgz so that 32-Bit apps will also use the theme
Code:
convertpkg-compat32 -i oxygen-gtk-1.0.4-i486-1alien.tgz
installpkg /tmp/oxygen-gtk-compat32-1.0.4-i486-1alien.tgz