Although I have a fireplace in the house (cheap prefab built in unit), I don't usually like to haul drippy oil soaked stuff from the workshop in the house. I just throw them in the trash.
If I had a workshop stove, I'm sure they would be a great heat source. The problem I have seen from experimenting with oil soaked stuff is that the thicker goo that they capture melts once put into a fire, and then drips all over the floor of your fireplace/stove/burn pot etc. and makes a mess.