I blend most of my colors directly on the surface I am using most of the time. Sometimes I layer colors on a palette to blend if I am using paper or canvas. I use turpentine sometimes to keep the mixture from drying out. I also use a wet brush to mix thin washes and paint directly from the oil pastel sticks. I also use the sticks directly on the paper and do a light wash over with turpentine to give a different effect.
Another technique I use with oil pastels as well as crayons is to layer several colors on top of one another then scraping shapes to reveal the under colors. I like this techniques effect very much.