Recently I have switched from soft pastels to oil pastels and I am curious if I should use papers with more teeth or a bit smoother or maybe average teeth.
Do oil pastels work better with paper that has more teeth?
Oil pastels work well on paper with a fairly high tooth level. It helps it "grab" the color -- a "toothier" paper is better than a smoother paper.
I'll borrow this diagram I used in a similar answer. You want pretty rough paper (but not quite the roughest), but somewhat smoother than you might have used for regular pastels.
Oil pastels work well on many surfaces, so I would suggest you try a variety of papers and other substrates and see which you like best.
A usefull site discussing this topic can be found here.