depends how often you play...if you dont have much time to play and want to harvest resources during peace treaties, high level oil wells are nice. They are much better than farms or caravans.... seeing as its easy to harvest 100 or 200K gold or food in a raid while it usually takes a more concerted effort to gather 1K of oil...
I haven't built oil wells, and I'm surely not missing them...
Reasons: I don't have to dedicate workers to building and upgrading them; I don't have to protect oil wells too, as part of the base design.
By adjusting the medal ranges at which you're farming for resources, it's possible to gather oil purely through looting other bases. If you're an active player, you probably can do without the oil wells.