WD-40 is NOT an oil and will provide NO lasting protection. WD-40 is good, but it evaporates rather quickly and would require re-application very frequently. Like Sir Edward mentioned, after the WD-40, you wipe it clean and THEN apply an oil. The WD-40 helps eliminate all semblance of water or moisture on the surface of the metal. The oil applied afterward keeps it off.
Someone conducted a test recently, by applying a variety of different oils, waxes, etc on swords and seeing which resisted rust the best. WD-40 was in his top-5, but the problem with his experiment is that he was comparing results after only 30 days. WD-40 evaporates within that timespan, so you'd have to reapply it every few weeks for this to be sustainable, as Sir Ian pointed out.
WD-40 is really good to use before applying your oil, though, and here's why. "WD" stands for "Water Displacement" (and the 40 comes from the fact that it was their 40th formula). It's designed to get into all of the little microscopic nooks and crannies in the surface of the steel and displace the moisture. The wipe-down is needed to remove the moisture. Then you can apply your sealant.
You can actually safely wash your sword blades and armor pieces with soapy water to get old oils off, as long as you get the soap off, let it dry for a short while, and then thoroughly hit it with the WD-40 before re-sealing. If you get water on your steel and don't use WD-40, you're risking sealing moisture into those microscopic cracks, and that's where rust will begin.