Surely everyone that buys domestic heating oil does this?
One reference point worth checking is at Boiler Juice. This web-based supplier is not half as useful as it used to be (it is now owned by one of the big Irish oil distributors so has lost some of its reason to be competitive). However it will give you quote prices for oil for the input of your postcode (the price of oil varies across the country by postcode because of transportation costs so entering that it currently costs 57p/litre doesn't help).
I'm not recommending Boiler Juice will always come out lower (sometimes it doesn't) but it provides at least a start point.
Do not attempt to buy less than 1000 litres at a time to minmise quote prices from suppliers is another hot tip.
The springing up of local buying groups is the best way to assure value - I save about 3p per litre versus the Boiler Juice price by using one of these.
http://www.boilerjuice.com/