With that in mind am I making the oils less effective by applying them over a stain?
Broadly speaking that should be a no. Waterbased and alcohol-based stains leave the wood 'open', essentially as if it hadn't been stained.
Oil-based stains do somewhat close up the surface (much as a layer of finishing oil does) but in general they're not recommended to be used when doing an oil finish.
Note here that an oil finish doesn't 'build' in the conventional sense, instead it's the application process itself that makes most of the difference.
This question is dependent on my assumption that stains and oils both work by penetrating the wood.
Yes they both penetrate the surface fibres of the wood, although under normal circumstances very very shallowly (this is why it is so easy to damage a stained surface if you inadvertently sand through a film finish).
Perhaps I am just ensuring that I will need to provide more coats of oil?
There should be no difference. The number of coats of oil you were intending to apply should stay the same, but how you do it may change after reading the below.
Oiling as commonly done today
Many people are happy with just a few coats these days — as few as two, and three seems to be quite commonly recommended as a sort of ideal minimum. This is in part because of the long-winded application required for oils, where at best you're able to apply one coat per day. And given certain weather conditions waiting longer is definitely advisable, in the winter in an unheated workshop applying a half-dozen coats could easily require longer than a fortnight.
How it used to be done
The full traditional oiling regimen could take an entire year from the point the woodworking was finished: one coat per day for a week, a coat per week for a month and then one coat per month for the rest of the year.
Yes, that is 21 applications of oil.
And in addition to that, traditionally you were supposed to oil once per year forever to maintain the finish. Any wonder why varnish was embraced as a significant step forward when it became widely and inexpensively available?
How we should be doing an oil finish
In the modern world it makes sense that woodworkers are unable or unwilling to devote the time necessary for this, but another element of the traditional application method has also fallen by the wayside and it is something that should come back as it's more important than ever: what you do after you've oiled the wood.
All guides to oiling will say that you have to wipe off the excess oil from the surface but these days, with the emphasis on how easy an oil finish is to do, very often they say you're done at that point. And that's responsible for the lacklustre surface on much modern oiled furniture. Traditionally, after the excess oil was wiped away you then rubbed down the piece, hard, and for a long time. There was no danger of leaving excess oil on the wood in the old days after buffing the surface for half an hour!
It is this, the hard buffing, that is largely responsible for the true look of an oiled piece, not actually a build-up of oil within the wood fibres.