iPhone 5 screen coating
Yes, the iPhone 5 (and I believe all iOS devices since the 3GS) have had an oleophobic coating. You can check this on Apple's Tech Specs page:


  Retina display 
  4-inch (diagonal) widescreen Multi-Touch display
  1136-by-640-pixel resolution at 326 ppi
  800:1 contrast ratio (typical)
  500 cd/m2 max brightness (typical)
  Fingerprint-resistant oleophobic coating on front
  Support for display of multiple languages and characters simultaneously


I find I don't have to clean my iPhone 4S that often to make the display clear when it's on, but the smudges are definitely noticeable when the display is off. However everyone secretes different amounts of natural oils, so you may just have the bad luck of having smudgy fingers I'm afraid.

You may want to be careful about how you clean it however. Using cleaners may actually degrade the oleophobic coating. I find that a microfiber cloth does a good job on its own. Have a look at Apple's cleaning instructions for things to avoid.