@fBoyle-- Yea, that's a great, old remedy for earaches and ear wax. The oil used for it is olive oil. It's called sweet oil because when you cook something with olive oil, it makes the food slightly sweeter than other oils.
My grandmother would use this remedy when we had ear infections and wax buildup as kids. I also used it once as an adult when I got swimmer's ear one summer.
If you don't have olive oil, you can also use baby oil. But olive oil is better because it's natural and fragrance free.