Scuff sheets tend to 'bubble up' when knocking a bat in. It's also tough to tell if you have rounded the edges off properly. And it is especially important (as each bat is different, some are softer, some harder) to know you are hitting the face hard enough to compress the wood. A scuff sheet makes it harder to spot your 'dent' in my opinion.
If you oil correctly, and knock the bat in using the correct technique and equipment, the bat will not crack during the process (extremely rarely anyway) unless it is dry/brittle, in which case you've probably purchased a cheap asian made bat which will fly but won't last. In my opinion there really is no point in knocking a bat of this type in. Get a scuff sheet on and get as many runs as you can before it shatters into a million pieces.
So i would agree with Paul. Oil it, knock it in, then scuff sheet on.