Usually (with propane) you'd put silicone oil in the filling adapter so it shoots into the mag along with the gas; it'll work its way through the gun's valves and stuff from there.
In the case of Co2 (and with Pelgun Oil) add a drop to the top of the 12gr Co2 cartridge before inserting it (put the drop where the piercing probe will stick into the cartridge). Most of it will go on that o-ring (which is what you want) and some of it will pass through the gun. Some brands of 12g cartridges also contain a small amount of lubricant in them (but you'd still want to use the pelgun oil).
