I am using the LXDE in this moment... and my corsor still is the oxygen-white.
Do you have put the oxygen-cursor-themes into the "/usr/share/icons folder"? (as root, obviously)
... and, after that, have you managed to select the oxygen-theme that you like? (there is a program, to select appearance, but you can make it using the "Configure Your LXDesktop" too).
Aguila isn't wrong when he claim the package "kde-workspace-cursor-themes" including the oxygen-cursor-themes, too.
Have you attempt to select the oxygen-cursor-theme you like? (using "Configure Your LXDesktop", for instance...)
One way or the other: it's the same, for result.