use something with argan oil or Shea butter. Preferably organic.
Headblade.com also sells headlube which shines a bit, and theres other lotions and rubs that guys on here can recommend.
Personally I thought I would need some at first as well, but now that I'm almost 2 months into it, my skin is adjusted and I dont put anything on at all, within a hour my head naturally oils up and shines.
Give your head a few weeks to acclimate and it should start oiling up on its own. If it doesn't, then you can find a product you like and consistently use it.
For now, a little bit of vasoline will calm your head after a shave and keep it moist for a whole day. Seriously, a very little bit. The stuff spreads like mad.