I recently started dry brushing with oils and now that I have figured it out, I will never go back!!
Yes, a little goes a very long way, so this is what I do:
I load the brush with the appropriate color, and dry the brush as usual. Then, before applying the paint on the model, I dip the paintbrush into some thinner, and dry the brush again. Once the brush is dry, then I start brushing the model. I will do this process several times to finish a typical 1/35 scale model tank.
So far, I have only needed to dry brush with one color, white. Although, as DJ suggested, yellow sounds like a good idea. The one thing to remember is that it is much better to have too little paint on your brush than too much.
The reasons I like oils for dry brushing are that the paint seems to go on much smoother, and if you are painting with acrylics and dry brushing with oils (like I do) then the oils will come off easily with thinner and leave the dried acrylic paint in tact
Here are a couple of pics of some models that I have used this type of dry brushing on:
Good luck, and let us know how it turns out!!