Troy, the oil filled heaters are called "hydronic", no real advantange. They stay wwarme for a while but have to be reheated every cycle too, just a slower way of doing the same thing.
For a baseboard to work properly, it requires open space in front and above for air to circulate naturaly, block the natural airflow and they take alot longer to warm things up.
Tshooter has the best answer in this case, an electric hi-wall/ceiling mount unit. It will heat up quick, wont run too much in a well insulated building and it is up out of the way.
Eric