Pretty much do the same, although I use mineral oil (have also heard of castor oil being used). You can add rosin if you want to increase the stickiness of the mixture, and another tip I've seen is that you can get bulk "rock rosin" considerably cheaper than the little blocks they distribute for string instruments.
Still far easier just to pick up a tube at your local shop. I'd recommend Al Beatty's blend http://www.btsflyfishing.com/catalog...ccessories.htm