I use an oil-free convector heater without any problems - the thermostat keeps the workshop at a reasonable temperature. I wouldn't want to use a fan heater as I'm sure it would constantly churn up dust.
If by oil free you mean convector, halogen, fan, gas etc then there not new ideas. I have 2 oil rads which one is on nearly all day, a convector heater which is far more efficient but I don't like using it while there is dust in the air just encase and a gas cabinet heater which works very well but is only used to give boosts to the heat and while no dust is in the air. My workshop has a BTU of 24,000+ so its quite hard and expensive to heat