How to Flavor Homemade Gum Drops
The only place I've ever seen flavored oil for cooking is in a friend's kitchen.  I got mine from the wonderful internet...

http://www.amazon.com/Wilton-1913-1029-Candy-Flavoring-Set/dp/B001205FI4/ref=sr_1_2?s=grocery&amp;ie=UTF8&amp;qid=1293115217&amp;sr=1-2

Also if you were making it a batch at a time you might want to use flavored gelatin to increase the flavors power.