Does the oleophobic effect of the iPhone screen wear off over time?
Unfortunately, yes, the coating does wear off over time. Apple has this to say:


  Please note that the ability of this coating to repel oil will
  diminish over time with normal usage, and that rubbing the screen with
  an abrasive material will further diminish its effect and may scratch
  your screen. —Apple


However, and this is good news, there are aftermarket alternatives to re-apply an oleophobic coating. Aculon is in the business of applying lipophobic protection (among other types) to a range of devices. I'm not sure how well they work or how much they run but a solution does indeed exist.

And for the curious bunch among you, here's what Bill Nye (The Science Guy) says on how the substance works:


  The new 3GS iPhone has a coating that helps you leave no, well hardly
  any, prints—fingerprints. The glass screen is coated with a polymer,
  a plastic that human skin oil doesn't adhere to very well. People in
  the chemical bonding business like to call the finished surface
  "oleophobic."
  
  Such a lovely Greek cognate may sound like it means "afraid of oil."
  And, it does, but it also connotes (or carries with) "aversion" or
  "not-like-to-be-around-tivity," if I may. Instead of sticking to the
  bonded-plastic surface of your new phone, the oil from you fingers or
  cheekbone or tip of your nose stays more or less together as its own
  smooshed droplet.
  
  The Applers were able to do this by bonding this oleophobic polymer to
  glass. The polymer is an organic (from organisms) compound,
  carbon-based. The glass is nominally inorganic, silicon-based… solid
  rock. The trick is getting the one to stick to the other. Although it
  is nominally proprietary, this is probably done with a third molecule
  that sticks to silicon on one side and to carbon-based polymers on the
  other side. Chemical engineers get it to stay stuck by inducing
  compounds to diffuse or "inter-penetrate" into the polymer. The
  intermediate chemical is a "silane," a molecule that has silicon and
  alkanes (chains of carbon atoms).
  
  If you'd like—and I hope you will—take a moment and think about
  droplets, like water droplets, on a surface. Deep in the droplet,
  water molecules stick to each other. On the surface though, they stick
  to each other as well, but they also have to opportunity to stick or
  not to stick to the surface they're resting on. When they stick, say
  to the nylon fibers in a bikini strap, the swimsuit feels wet (or so
  I'm told). When they don't stick to the surface they're resting on,
  they bead up, like in the car wax commercials.
  
  Well, the polymer that the 3GS iPhone screen is coated with doesn't
  let the oil of your skin stick to it very much. So, you don't leave
  fingerprints. The key is in the intermediate compounds, the silanes
  that hold the plastic to the glass.
  
  So grab a hold of one, and for a change, watch almost nothing happen.
  It's chemistry. —Gizmodo