Games Workshop's Nuln Oil is a black wash that you can use to give your models the final finish. The color darkens the basic painting of your model significantly, so you should not use colors that are too dark in the previous color choice.
The Games Workshop Shades are used to add shading and depth to your pre-painted models. After you have applied the base colors, you can spread the shade generously on the dry color, the shade is so liquid that it flows into all the indentations and dries there. In raised areas, you should remove the shade in good time with a wet brush or cloth to avoid unsightly stains on the model. The model can then be further processed as desired, e.g. by dry brushing with drybrush colors or highlights with layer colors.