Some folks (and some manufacturers) suggest using SAE90 gear oil for chain lubing, which is messier and less convenient.
Sprockets
Rear sprockets can be made of steel or aluminum. Aluminum is lighter but wears faster, although special hard anodizing can improve wear rates. The rear sprocket is unsprung mass, so lighter is better for handling purposes.
The back sprocket is usually bolted to a sprocket carrier hub that's located in the rear wheel via a shock-absorbing, rubber cush-drive. The locking sprocket nuts can come loose, so check them at service time.
Front sprockets are generally made from steel-their smaller size makes any weight loss insignificant and the large forces going into such a small part necessitate a tougher material.
Front sprockets are normally mounted on the gearbox output shaft, using machined splines. A circlip, large nut with tab washer, or a bolt-on plate secures it solidly in place. Always use correct torque figures and new washers when swapping sprockets.