Yes it will sting or possibly injure the animal. Even though it's a relatively slow firing pistol. 200 FPS. The pellet will sting if fired a a close range. If you hit a rodent or very small animal it...
Do not use regular oil, only use Crosman Pellgun oil or RWS pellgun oil. It can be purchased at most sportingoods shops that sell pellet guns. You can also order it online (See the link below.)