I've never tried olive oil. Seen lots of people recommend it. I guess there's a hit of acid in the oil that helps get the dirt lose. Don't know how long you're supposed to soak the coin.
When you're done, you'll have an oily coin. I've also read that a tooth-pick can be used to gently rub the dirt off the coin. And if it's a very rare coin, they say you're better-off not even trying to clean it - the cleaner you get it the less it's worth.