Any local bike shop ought to have a product behind the counter somewhere called "spoke prep." To use it, dip in the thread end of about 2-4 spokes return them to the bunch tip side down & massage/rub the whole bunch together to spread the spoke prep to all the spokes in the bunch. Then let them dry.

I've never used linseed oil. But the bike shop that built all my wheels before I took the big leap used it exclusively. There has never been any issues I have been aware of with it.

Spoke prep acts like a lubricant at build time but is supposed to harden up a bit like a really light loctite type thread locker. A sympathetic shop mechanic may let you use it free of charge. Be sure to explain it is your first wheel build, bring in a plate of something from the local taco truck &/or a six-pack of something delicious, and a promise to bring the wheel back for his professional expertise if you encounter any problems. I can't imagine them turning you away in that scenario. In fact, they may even be enthusiastic & excited you've taken a huge step in being a "real" mechanic yourself. If they do give you any resistance, leave the 6-pack & the tacos for good will; Wheelbuilder has tiny jars good for about a million wheel builds for around $19.

Any basic marine grade axle/bearing grease applied to the spoke hole & nipple with a q-tip will stay put well. I like the red disc brake bearing variety for no reason in particular. I feel chain oil would be runny & do anything other than stay put where you need it, especially long in the future when/if a re-true becomes necessary.

A random tub of axle grease is very common in many peoples garages. You might ask a friend you know has ever worked on cars. He'll probably lend the tub for free if he has one just so that it gets used before it goes bad. Failing that, any autopart store will have a 1 pound tub for ~$10.