As LBJ correctly stated, it's not the oil that the steroid is in that causes the acne or pimples. The use of anabolic steroids, more specifically anabolic androgen steroid (AAS) can lead to acne due to the stimulation of sebaceous glands. Sebaceous glands that are present in the skin secrete a
substance called sebum into hair follicles and majority of the body surface. This substance is the culprit behind the pimples/acne.
Your "friend" could try more frequent showers while on gear, alcohol-based facial skin cleaners or prescribed medication from a dermatologist to help combat the acne.
Hope this helps.
RunningMan