When I heard about the Finer Things Club, I immediately knew that Oscar was going to be a member. I think Oscar had the best line in the episode with "Besides having sex with men, I would say the Finer Things Club is the gayest thing about me." The montage of club with their funny berets and Memoirs of a Geisha discussion was great too.
It's debatable whether Oscar didn't want Jim in the club. I can see why he wouldn't because Jim never takes anything seriously. I think Toby might have started the whole thing out his crush on Pam and recruited Oscar for his cause.