I would think you would get the most benefit from applying the coconut oil after your steam room session and after you are done showering as well. Use the oil like an all body moisterizer. This way the oil will have a chance to penetrate deeply into the skin and give you the most benefits from it. There is a coconut oil forum in yahoo groups called the coconut oil open forum. Bruce Fife belongs to that group and will answer questions directed to him. Also there are many people on that list that really know the ins and outs of coconut oil so that might be another place you can post your question. Here is a link: http://health.groups.yahoo.com/group/coconut_oil_open_forum/messages?o=1
You will have to join to gain access to the group.
My only other suggestion for you is to make sure you are using extra virgin or virgin coconut oil as there are some poorer quality oils out there. The oil should smell and taste wonderful.