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The Roman's hadn't invented soap, so oil worked as a cleaning agent since it mixed with oily secretions, then being scraped off with a special purpose "strigil" scraping instrument - usually done at the public baths.

Well, obviously massage is also very enjoyable. If labor is cheap enough, there's no reason it wouldn't be a common indulgement in public bathhouses (which were the only type of bath available to most city dwellers outside the very wealthiest ones, of course).

Yes, it was used in many circumstances when today people would wash themselves, like after hard work or physical exercises.