Rinse a few times with hot, soapy water, and agitate as much as your glasses will handle.
Soaking doesn't help much, because even if you release the oil, the glasses are still sitting in the oil. Heat and soap will loosen the oil, and agitating and rinsing will help drain the oil. (I personally used a 2 pound container with a cover, put in glasses, soap, and hot water, and shook. Emptied and repeated a few times.)