I personally wash my hands before going on my gaming setup. I don't think even mice I've used for a whole year have that kind of 'oil' built up on them. My keyboard/mouse at work are gross like that though - but that's because other co-workers are constantly using it
Bothers me a lot lol. Never used to let my little cousins use my console controllers either - would have a specific one for them to get their cheeto hands on... I just look at some gaming setup and go.. yikes.. that's nasty!