He had a water bed when he was in college and one of his girlfriends pulled off all the sheets and then used a quart of olive oil on him. As fun as it was he said it took forever to clean up afterwards. He would never let her do it again.
In my opinion I think that most couples that enjoy this type of play tend to have two-person showers or jacuzzi and use ample body wash to create the same effect. Afterwards it is easy to clean up everything and leave no mess. There is a book on sexuality called "Come as You Are" that talks about lubrication to a great extent. This author suggests using silicone-based personal lubricants because they are not water soluble and afterwards dry to a simple powder. This means they can be used in the water without getting washed off immediately.