Do oil pastels work better on paper with more teeth?
Oil pastels work well on paper with a fairly high tooth level. It helps it "grab" the color -- a "toothier" paper is better than a smoother paper.

I'll borrow this diagram I used in a similar answer. You want pretty rough paper (but not quite the roughest), but somewhat smoother than you might have used for regular pastels.


Image from Hello Artsy: How to choose quality drawing paper