Same thing happened to me a few months ago, except I was the one who ordered the oil and didn't get it!
It only came to light when I rang up to enquire why my order hadn't been delivered. They rearranged the delivery straight away, and presumably sorted it out with the other party, as I didn't have to do anything further.
Anyway, the point is, their next step will be to ask the delivery driver to identify where he delivered it to, so unless he can't remember, they will no doubt catch up with you in the end. I can't better buildersmate's advice though. I'm sure they will seriously consider an offer given the trouble they'll have to take to get it back, and since you will be using it anyway and with the current high prices, you could save quite a bit there.