I use a heat gun as well. I've never used oil and get no scorching whatsoever... not even the slightest discoloration.
Like Pat said, steam and boiling are often used methods as well and I have done both depending on the wood type, moisture, and degree of bend.
Another technique is to saw a kerf into the end of the limb for about 12", insert a short lamination, and glue and clamp to a form of the chosen shape. The outer limb will bend into the form much easier since it will consist of three thin pieces rather than one thick piece. No heat is used.