Really, any unsaturated fat will work (Unsaturated because they form larger polymer chains).
Its best to use an oil with a low smoke point (low polymerization temperature), because it's easier to polymerize it in the first place.
Flaxseed oil (same as linseed oil) is one of the best (225F smoke point). Just don't use the one from Home Depot. It also makes a harder polymer than soybean oil (vegetable oil). Can't find data comparing hardness values to other oils though:
Unrefined canola oil would be better than refined:
https://en.m.wikipedia.org/wiki/Template:Smoke_point_of_cooking_oils
...But again, any unsaturated fat will work fine.
Much more important is this:
Lots of thin layers is good.
One thick layer is bad.