Lots of confusion on this thread..
From what you've said and the bike shop has told you, you have a thread on freewheel, NOT a cassette as some have suggested. These are not the same:
http://www.sheldonbrown.com/free-k7.html
You can lube a freewheel without removing it from the wheel, although you could probably do a better job if you take if off. Just spin the freewheel backwards and look for the gap between the part that spins and the part that is stationary. Drip some oil in there. Freewheels are generally pretty durable, so don't worry about replacing it unless it stops working.
Originally Posted by
cvcman
I also notice when the wheel is on the bike and I ly the bike on its sde ith the gear set up and spin the wheel i seems like the gear set sorta moves up and down as the wheel is turning,
This is normal. Some freewheels do it more than others. It may look a little sketchy, but in reality it doesn't affect anything. It just has to do with how the freewheel bearings are setup.