If you oil then carve, I think you'll carve through the oil layer and reveal lighter wood. Oil "penetrates," but only relative to film coatings, maybe 50-100 microns. (more in extremely porous woods, like red oak) I suspect the darker areas in your carving are rays in the grain, running a shallow angle to the surface and revealed by the depth of carving.

If you want darker contrast, you might consider doing your carving & sanding, then buffing on a light coat of light paste wax to seal the field, then go on with your colored wax. Even clear-waxing the field before you start carving.

Depending on how much you like the machining marks - those cross-grain scratches in the image - you might also consider a cabinet scraper instead of sanding.

If you want the carved part to be darker than the background, you could apply a glaze to it. Get a can of stain, don't shake it, but pour off the liquid. Rub the goo at the bottom of the can onto your board, then wipe it off after a minute. It will mostly wipe off the top surface, but will stay in the carved lines as long as you don't dig it out with the rag. Shellac on top to seal it.

you could also try burning the line in with a dremel if you've got a really blunt bit.

Have you considered actually filling the carved grooves with something like black crayon wax, CA glue, or epoxy? It may or may not be the look you're going for, but it would guarantee the contrast.

What effect are you looking for on the finished piece?