Most oils polymerize at high temperatures. Getting the temperature juuuust right is pretty tricky in a home setting. Much easier is to just burn the shit out of the oil and wipe away the burnt oil, leaving any oil that happened to polymerize behind.

This is in fact how they used to make linseed based paints. They'd boil the oil, setting the stage for it to polymerize, and add pigments. The oil would slowly polymerize after being applied, locking the pigment into place. These days I think they mostly use chemical accelerants instead, Which makes the curing times much more tolerable.