When giving baby a massage, use a safe, natural massage oil. Those that come recommended include:
Be careful of non-natural, petroleum based oils, and even essential oils, as these can be harmful to baby.
I read a lot about baby massage while I was pregnant, tore out a couple of magazine "how-tos", and was fully prepared to massage my baby every night before s/he went to bed. Well, SHE had another idea in mind! She was never a big fan of massage, no matter how much I wanted her to be, given all the benefits I'd read about! I found if I did it in the morning instead of the evening she tolerated it better, but a five minute session was LONG for us (and very rare). Anyway - perhaps your wee-one will enjoy!