What is the role of oil in gluten free baking? (Can I substitute applesauce for oil in gluten free recipes?)
Most gluten-free recipes tend toward the dry and crumbly, because the binding and elasticity of gluten is missing. Oil contributes a certain amount of binding and moisture of a sort to the finished product. As far as I'm concerned, using all oil as a compensation is unwise, as it can greatly increase the fat content of the recipe. Xanthan gum or locust bean gum (my preference) can supply some of the missing elasticity and binding without increasing the fat content, so you may benefit by experimenting with proportions of gums and oils to get the texture you want.

I would not advise using apple sauce as a substitute for oil, as the moisture will mostly evaporate during baking, so the apple sauce will not provide moisture or binding.