Oil pastels are colored pigments combined with a non drying oil and wax binder.
They are more similar to crayons than soft pastels. Unlike crayons, oil pastels contain oil which makes them greasy. This greasiness allows colors to lay down in smooth rich applications onto a variety of supports including paper, canvas, wood, or what have you.
It is a fast medium, meaning color can be applied quickly and thoroughly, making an oil pastel ideal for sketching. Some artists also use them for finished pieces, but be warned, oil pastels don't dry.