Tuono Cane
Sure it won't hurt anything and will remove the oily film!

meev182
yeah clean it off with brake clean. otherwise its gonna be smoking for a little while haha

RAJ
It is not going to do any harm if you do or do not. The thin film of oil would anyway smoke off after you test drive the first round and it will be all set. Make sure you follow the directions to put the brake pad lubricant that lets the pads slide smoothly. Also, make sure you push the caliper cylinder piston back with a C-clamp. Make sure you also check the caliper pistons (that lets the shoes to adjust itself after braking) work fine and are not frozen. Since its an old car and since it is yet to get warm outside, it would be good if you can check for frozen calipers so that you can be tension free. Make sure you bleed the system once you do the job.

Dan
Wipe it off with brake cleaner or just use a gas soaked rag.

Jon P
Rotors have a protective coating to prevent corrosion before installation. Paint thinner will cut the film but will leave residue. I've used brake cleaner then finished with lacquer thinner or rubbing alcohol until a white rag does not show anything. I ventilate the work area and put the used rags in a bag.