Water cooling kits for GPUs are very common in the enthusiast PC market. That would be much easier and safer than dunking your server in a giant vat full of oil.
If you did submerge your server in oil, you'd want to remove all the moving parts (ie, the fans,) from everything. And you'd have to use external storage such as a SAN. Mechanical hard drives have breather holes that can't be covered up. (And I doubt their seals are tested under submersed conditions either.) You'd want to remove any chassis cover and any airflow covers (like the kind GPUs typically have) so that the oil can actually reach the components and circulate around them.
If your giant vat of oil caught fire? Uhm... evacuate the building because that mofo is burning down. I mean honestly, you'd probably need to displace all the air in the room with halon to put that out in a timely manner. At least... keep a fire extinguisher handy. But mineral oil has such a high smoke point, it's very unlikely that it'll catch fire. They use it in 10KVA distribution transformers and those don't catch fire too often.
Edit to answer your comment: I would just use distilled water. There are "Water Wetter" type additives, but they are designed for car radiators and much different temperatures and their use in this type of application would not likely show any measurable results. You might consider an additive that will prevent algae growth, but don't use any chemical that might compromise the integrity of the seals or hoses. Using oil in a system designed to carry water would not work. Not only would it not work but it doesn't even make sense, even if you got a really strong pump that could pump the oil quickly. Water is desired because it can absorb the heat quickly as it whisks over the components, then it is taken to a radiator where it is cooled back down. Oil does not absorb heat as quickly, but it can absorb much more heat overall before bad things happen.