Lubing control cables is a touchy subject. If you use an oil, dirt is attracted and it will gum up, making it hard to work. And the cable housing becomes a mess. But it does help keep the cable from rusting.
The other school believes that graphite powder is the lube to use. It doesn't attract dirt and does a good job of lubing the cable. But graphite doesn't protect against rust.
This is where I go to my gun cleaning supplies. Remington Drilube is a teflon based lubricant that dries on the surface and protects against rust without the mess of graphite. You can buy it at most gun shops, including some Wal-Marts.
