Placing a screen over the oil furnace vent, keeping plants and debris at least a foot away from the house and putting glue traps out near the oil furnace vents are the best way to keep bugs from going inside. Vigilance against bugs is particularly necessary when the seasons change.
Obviously, it doesn't make sense to cover up oil furnace vents completely, as they serve an important safety function. However, putting a fine screen over them keeps bugs from crawling inside. Ensuring that plants get no closer than a foot from the house gives bugs less of a reason to get close to the vents in the first place. When weeds get closer to the house, it is important to trim them as much as possible. Bugs also like crawling around in debris, so moving scrap metal and other junk items away from the house gives bugs less of a reason to set up shop near the vent.
People who suspect bugs are infesting the area around the oil furnace vent should put out glue traps near the vent. This traps insects and rodents, in some cases. The glue trap lets the homeowner know whether an infestation has set in near one of the oil furnace vents. Leaving out more traps than one thinks one needs can actually be helpful, as it gives the homeowner a more accurate sense of where the bugs are coming from.