I, too, tend to have very oily skin (although my skin is starting to change as I'm getting close to menopause)... Anyway, I use ALOE VERA gel from the dollar store and it works as a great moisturizer AND a great base for my makeup.  Give it a try... I think you'll be happily surprised! 

I have the same problem. I've been using Kiehl's Rare Earth Pore Minimizer to help! I definitely recommend it (skin is still oily, but a lot more under control than when I used any other moisturizer). It also seals in makeup well for the entire day & is Oil-Free!

http://www.kiehls.com/Rare-Earth-Pore-Minimizing-Lotion/791,default,pd.html

These tip will help me also for my face is oily also.plus tell me what kind you were that will stay on all day

I LOOOVE Clean and Clear Finishes Pore Perfecting Moisturizer. This is oil-free.