Keeping iPhone 4 Free from Oil Without Using Damped Cloth
Apple says:


  Cleaning iPhone
  
  Clean iPhone immediately if it comes in contact with any contaminants that may cause stains, such as ink, dyes, makeup, dirt, food, oils, or lotions. To clean iPhone, disconnect all cables and turn off iPhone (press and hold the On/Off Sleep/Wake button, then slide the onscreen slider). Then use a soft, slightly damp, lint-free cloth. Avoid getting moisture in openings. Don’t use window cleaners, household cleaners, compressed air, aerosol sprays, solvents, alcohol, ammonia, or abrasives to clean iPhone. The front and back covers of iPhone 4 are made of glass and have an oleophobic coating. To clean these surfaces, simply wipe with a soft, lint-free cloth. The ability of this coating to repel oil will diminish over time with normal usage, and rubbing the screen with an abrasive material will further diminish its effect and may scratch the glass.
  — iPhone
  User Guide, page 54


(emphasis added)

Or in other words: remember that little piece of cloth that came with your iPhone? That's all you should need.