I run one on my L28ET but the car is only used for circuit racing. It made a big difference to both my engine temp and oil pressure in the longer races. As Neuby said, because the oil flows through your turbo it gets a lot hotter than on an n/a car. But for road use you should never get it hot enough to need an oil cooler. Like others have said, an oil thermostat might be the way to go. Then you've got the best of both worlds. I wouldn't be concerned about the oil pressure not dropping off unless it's unusually high in the first place. Mine doesn't drop off either when driving the car 'normally'.
As for oil, I run a 25-60w Valvoline oil. At the last meeting I used a 25-60w Fuchs oil because a rep gave it to us to try and it was useless. Everything got hotter than normal and the car developed oil leaks it's never had before which suggests it breaks down badly when hot. When we've pulled previous engines down after using the valvoine there have been no signs of wear and the oil leaves a nice film over all the parts.