I've heard several different answers so finally went to K&N directly. My filters are pre-oiled - here is K&N's direct quote from email:
"Almost all K&N air filters come pre-oiled and ready to use. The filter oil we use is red. A new oiled filter will appear red-pink in color. Some crankcase vent air filters come unoiled, however, they come with a small packet of K&N filter oil so they can be oiled before use. There are also a limited number of filters with specialty uses which are not pre-oiled. These items will be clearly marked as unoiled."