Massage is for bonding and touch therapy. Hence whether you use oil or lotion or do a dry massage it's all OK. As long as baby is enjoying it you can continue. It is best to massage and then bathe as the bath helps to open up the pores and this will allow the skin which is a major organ of the body to breathe.

the usual routine is an oil Massage, then bath and then apply little lotion before you dress her. you do not need to do a massage with a lotion. you can do an oil Massage once in a day.