Hi piranha, I have just done some research on this as I was curious myself, and it looks like coconut oil is safe to use with high quality silicone, glass, ceramic & metal, but would not be compatible with latex, PR, TPE, jelly, rubber, latex, vinyl, or PVC.
It would be best to use a good quality water based lube for those products. I agree with Y&F's recommendation of Sliquid, as I personally use either the Sliquid range of lubes or the LH Anal Lube, as I have sensitive skin and these are free from parabens and glycerine and are not sticky at all - you can also reactivate these with water during use. I personally use Sliquid Sassy for anal play and Sliquid H20 for everything else:
The LH own brand Anal Lube, is also a brilliant all rounder, and again not sticky at all :
I couldn’t find anywhere that said coconut oil increases the risk of infections, I actually found a few articles that said coconut oil can actually help prevent yeast infections and actually help to clear them up?
Hope this all helps xx