I think it'll season pretty quickly on its own, b/c of the fat (butter) in dough.
When you do oil a cutting board, FYI, you don't want to use vegetable oil, as that'll eventually go rancid--use mineral oil. But I wouldn't bother seasoning a rolling pin. I imagine the flour you'll use on it would really stick to any oil that remained on the pin; could produce a lumpy mess.
If you're afraid of butter, use cream. ~~ Julia Child
As you cook, you enjoy omniscience about food that no amount of label reading can match. Having retaken control of the meal from the food scientists, you know exactly what is in it. (Unless you start w/cream of mushroom soup, in which case all bets are off.) To reclaim control over one's food, to take it back from industry & science, is no small thing; indeed, in our time, cooking from scratch qualifies as subversive. ~~ Michael Pollan