Could be feather mites. My cob has a problem with these and come the winter she has dandruff on her inner thighs and around her stifle area. Where there's dandruff there's usually mites.
Mineral oil, pig oil, baby oil, liquid paraffin are all the same thing. Tesco's own baby oil works out the cheapest ml for ml. It can also be used to replace expensive coat shine sprays as these contain mostly this oil. Read labels and you'll be amazed what you are paying for.
As for sulphur...