(According to Dick Blick) Sennelier Oil Pastels are made with mineral oil and wax; they will NEVER dry, no matter what you do with them. The only solution is to spray with either GOLDEN Archival Spray varnish, which will sort of fix them in place, OR Sennelier’s fixative, item #21700-1004, but very expensive – over $20. And even with this, they recommend this be on the top layer, not underlying additional paint.
Pam's Notes: I think it is okay to use minimal amounts of various markmaking materials because in the case of painting with cold wax/oils, these materials will be under the cold wax medium if it is used as a final varnish, which is recommended. I think it may become an issue if such non-drying markmaking materials were used thickly and over large areas of a painting; however, in smaller amounts, I wouldn't think it would be a problem and I do use such materials occasionally.