Actually, no it's not a bad idea at all. There are quite a few applications with similar total loss systems that use felt wicks for this very purpose, many of which are more demanding than the screws and the ways/gibs you're talking about on a lathe. Seriously, how heavily loaded is the way or lead screw on a lathe compound? Not very in the grand scheme of things. If it's wet, it's fine...no need to pour an ounce on it every time you use the lathe. They put simple ball oilers on there because it was easy and convenient, not because it was the best way to go.
The felt holds a quantity of oil and allows it to slowly drip down to whatever it's oiling in a controlled fashion rather than just blasting through in a short period of time. Many older lathes use Gits oilers leading to felt wicks around the spindle bearings that are total loss. Many horizontal mill arbors have felt wicks leading to a port over the running bushing that is total loss. Those are just two scenarios that are far more demanding than a lead screw of slow speed, limited travel way and they work perfectly.
