I have an old Oxford oil cooled welder and for whatever reason the oil was removed.
My question is what should I replace it with, is this some special type of oil?
I have a feeling it might be expensive or I may be wrong.
I would guess it is what is known as transformer oil (Used, commonly in transformers and oil filled switch gear). I can't say what it may cost or if you can get small quantities. Try Google for transformer oil in your locality?