I bought a Cold Steel Trail Master with a O-1 high carbon blade.
What kind of oil should I put on the blade to keep it from rusting.
It has some kind of protective coating on it and is in a paper sheath.

Also should I keep it in or out of the kydex knife sheath it came with.

Your answers will be helpful.

That is not an easy question for the problem is, even after oiling/greasing, inserting the blade in the scabbard will rub some off, exposing the surface to oxygen.

Oxygen in the air combines with the iron in the blade to create rust. Oils and greases are barriers, but only temporary. As for rust preventive compounds, there are many on the market. This post has some excellent and objective information on rust preventative compounds. Comprehensive Corrosion Test: 46 Products Compared http://www.dayattherange.com/?page_id=3667

I have been using Fluid Film and RIG grease on knife blades with some success. I think RIG an excellent rust protectant and have used it for decades on guns. I do believe storing a high carbon knife in a leather sheath is a big mistake and I have examples around the house of the rust that results.

Something I have done with good effect, is to paint the blade. Spray paints are surprising durable. I have had knives in leather sheaths rust through clear spray paint, that was a failure, but knives and axes stored in nylon fabric sheaths have held up quite well.

I have 3 of them any good gun oil well work as with any fine steel product one has to keep after them. I oil mine once a year unless I am using them then after every use.

I use Ballistol and keep going.

Most of my knives are stainless but even the I don't put them in leather.
My guns however are carefully cleaned and coated with RIG .Thick coatings are not needed. They are then covered with rust inhibiting paper . They can then be put in plastic bags. No problems at all and the guns are ready to use without cleaning off thick amounts of grease.

" season the metal " ? If you are talking about a frying pan , seasoning takes oil [best is soy oil ] and heats it to polymerize the oil, forming a polymer ! ???