If it was a tick of any size, and had dug in, you would be able to detect the head much like a little splinter type of foriegn object. If it was one of those tiny little buggers, you will have a very hard time finding it. I would recomend treating the bite site with a local antiseptic for a couple of days and keeping an eye on it.
And yes, don't put oil on them. It makes them heave, probably pumping all kinds of goodies into your bloodstream.
I'm out in the field a lot, in the deep south, and get a lot of ticks. They like to dig in where clothing constricts, such as at the waistband. I once pulled 16 of around my waistline. We used to just pull the big ones off, and use tweezers or the edge of a knife or such to scrape little ones off. However, I once had a head stay behind - right on the edge of my man-nipple. That gave me a certain unpleasant sensation for weeks.
Now I bought one of these:
http://www.campmor.com/outdoor/gear/Product___88774
It does a great job. After you get one, you can easily use it for a pattern to make a few others out of cut up beer cans or such the like.
When DS was around 6-7 years old, he had a large dog tick hidden in his hair on the back of his head. I didn't know it was there, and he somehow had squashed it while it was still attached. It was a day or two later that I finally learned about it. I had to dig the dried up mortal remains off and out of the scalp of a squawling little boy, and treat that with neosporin for a long while. That's my gross tick story.