Why wouldnt you count all the calories/points? Oil is oil is oil right? Or are you asking as in, "i am putting three chicken breasts in a skillet and using a tablespoon of oil, how much oil do i count for my share of chicken? Is that the question?
Yes you count the points for it. I use canola or EVOO a lot.
If I am making something and it has 4 servings and I use 4 tsp to cook it in then I count 1 tsp per serving and add the points to the 'recipe' or 'meat' points.
If you mean "what about the oil that's still left in the pan after you're done," then you might be using too much oil. With a good non-stick pan, you can use less oil, so there is nothing left in the pan. If there's oil left behind, then it's very difficult to calculate how many calories/points the drippings contain, because it's not just oil anymore, but liquid that has come from the foods sauteed in the oil, etc.