I built an oil cooled machine a few years ago in a fish tank, it was really awesome looking....but....The oil makes all plastics parts and wires so brittle, that in just a few months they snap with any kind of movement. One of the add-on cards I had also had some rubber parts to the capacitors, and when the rubber expanded in the oil it just popped the capacitor right of the board. Also while gaming the oil would push 130F until I put an external radiator that was air cooled on it, if it is run for under 8 hours at a time the oil will actually cool down, and it took several hours to even get 5 gallons of oil warm again. On top of that...don't get me started on maintenance....the oil "crawled" up out of the tank and up the wires. I switched to fully wireless keyboard / mice / usb hub, but the power cord really had to be wiped off every so often.
While neat, there are some major issues with oil immersion. Instead, a sealed case (hot glue anyone?) and externally mounted water cooled heat sinks would do the trick. The sealed units are awesome, and they don't freeze either as it is not actually water in the sealed units. You can even get self-contained water cooled PSUs now.