If a formula is totally free of water but consists only of oils, you don't
necessarily have to add a preservative. Microbes including bacteria and mold
require water to grow. However, in order to prevent the oils from becoming
rancid (= oxidation) you'd have to add a good antioxidant such as, for example, Vitamin E Tocopherol.
If you still prefer to add an antimicrobial agent I'd recommend using an
oil-soluble ingredient, like tea tree oil or
Orange-Lemongrass Blend (http://www.makingcosmetics.com/).
Both are used typically at a concentration of about 2% (= 2ml per 100ml of
oils).