Hey Type Nasty,
Are you just revving your car in the driveway?? You WILL NOT build any boost just by revving the motor. You need to acctually put some load onto the engine in order for the turbo to start spooling.
When you say ‘when I rev the engine oil sprays out the exhaust’ do you mean oil is acctually pouring out (I doubt that) or you are getting oiley ‘blue’ smoke? I just finished installing my turbo on my LS, and I ran open downpipe for a few days till I could take the car to the exhaust shop to get the downpipe hooked up. When I first started it, it smoked like shit! Mostly from the manifold though, as you get lots of fingerprints and oil from your hands all over the manifold and turbo exhaust housing. It takes a few heat cycles for all that grime to burn off. I also got a fair bit of oily smoke coming out of the exhaust. But by the time I had driven to the exhaust shop it was all sweet. My turbo was NOT brand new either, but it had only done about 200Ks since it was rebuilt.
Do you have an internal or external wastegate?? I only have experience with internal ones so I’ll tell you how to hook that up. Basically you want to have a vacuum line (even though it should really be called a ‘boost’ line, since it will never have vacuum in it) coming from either the turbo compressor housing (if it has a nipple on it) or on the charge pipe directly after the turbo (before intercooler) and connect that to the wastegate actuator nipple. This way when it reaches the amount of boost that the wastegate spring is set to (mine is at 5PSI) it will open the wastegate, thus limiting the boost made by the turbo.
For your BOV you need to hook up a ‘vacuum’ line (since BOV’s work using vacuum to open them) to your inlet manifold. (so it is AFTER the throttle plate) This way when you slam the throttle shut, the newly created vacuum in the inlet manifold will open up the BOV. When there is pressure (boost) in the inlet, your BOV will stay shut allowing your boost to build. You can also put a T-Piece on the inlet manifold and connect your BOV and wastegate to the same source. You mite be able to build a tad more boost, since you are opening the wastegate at the exact PSI that the engine will see. You will get a pressure drop with most intercoolers, so if you put the wastegate actuator line BEFORE the intercooler it will open the wastegate a bit earlier. I remember with my setup I tried it both ways. I got just over 4PSI when I had it hooked ‘pre-intercooler’ and I got 5PSI when I had it hooked to the inlet manifold. (I have my boost gauge T’d to where my MAP sensor gets it’s reading, so I’m getting the same reading the ECU sees) Now I’ve got a boost controller, I have it hooked up pre-intercooler again, since I can easily adjust to get the boost amount I’m looking for, plus this keeps the wastegate actuator lines as short as possible for MY setup. If you connect it to the inlet manifold just try and keep the lines as short as possible without being anal about it. 
But yeah, take your car for a drive to burn all that shit up and then you should be building some boost.
One last thing though. If your oil return (to the sump) is too small, or is somehow restricted (it goes uphill) then this can cause the oil to build up inside the turbo core, and due to the high pressure of the oil coming into the turbo, this can cause the oil to blow past the core seals and into the exhaust and compressor housings… This MAY be the cause of your oil burning. But I doubt this would be your prob if you installed from a kit. Just drive it a bit, and the smoke should go away.
Sorry for the long post. But yeah, I know what it’s like when you search and cant find the answer your looking for! I’m new to this turbo stuff too. But once you get it all going, you’ll NEVER LOOK BACK!!! 
Mark