the oil/coating is normal, this protects the metal from rusting from the factory.
I usually wipe off the tubing with paper towels to get the bulk of it off, if you have gojo rags they work great as they have a grease remover saturated in them. or any type of degreaser (Simple Green, LA's Totally Awesome, or what not)
Then acetone/alcohol/whatever where I'm going to be welding.
If it's something I don't need to be perfect, I'll just use gojo rags and nothing else. Alot of jigs and fixtures I never end up painting, so if there's still a bit of oil on there I don't care.
I usually don't put acetone on the entire piece of metal before welding if it's long lengths of tube, as I'll generally do that after the piece is done welding and getting ready for paint. And at least in my work area, the tubing will get dirty again from general handling and what not, so I don't bother cleaning the entire length of tubing with acetone off the bat. At first I just acetone the ends of the tube and anywhere else I'll be welding. And then the entire piece with acetone right before painting.