The Urban Sketchers movement was started on Flickr in 2007 by journalist Gabriel Campanario. Since then Urban Sketching has caught on to be a global community of artists.
Although most urban sketchers use watercolors, there is no rules to say you can't do Urban Sketching with oil pastels.
Urban Sketching is about observing your surroundings and painting something with immediacy. The plein air style helps artists communicate their experience in the most natural form. This format also allows for amateur artists to work faster and build confidence. A standard Urban Sketching meetup has the artists meet at a location at a time, meet and greet, they all set out for a walk around the location drawing for a while and ultimately meeting back up to share and enjoy the work they created.
There are several challenges to making your palette limited to sketch on the go. A good way to do that is to look at the weather and think about the temperature. On a hot summer day you may not need many cool blues while on a cool foggy day you may not need your warmest members.
Choosing a sketchbook or journal that is a size that can be painted in a 20-35 minute stretch is a good pick. Also try to keep it light.
A sling bag to hold your supplies reachable might come in handy. Join your local Urban Sketcher meetup and show what an oil pastelist can do. Don't forget to share your work on the OPS forum!