certain fish can be used as feeders, but not goldfish, and definitely not any sort of feeder fish you'd buy from an lfs. goldfish in particular have a high thiamine content if i recall my research correctly, and this is not good for the diet of an oscar.
there is the option of breeding and raising your own feeder fish and feeding them really good food (basically gut stuffing them). this ensures that you are feeding your oscar a healthy and parasite free live food. i am in the process of breeding and raising endlers (livebearer fish) for this purpose for my oscar and other cichlids. mind you, these feeders of mine will not be the staple diet, more so to supplement the well rounded diet the cichlids already receive, and for a treat.