How about dragons taking bath in hot oil? (I can't find the reference in Ozy and Millie. Update: but planetscape confirms that dragons do bathe in oil.)
Update 2011-10-23: found it, finally:
Llewelyn here claims he was bathing in motor oil. (He doesn't specifically say hot. Yes, I tried to search for this before, but all I found is the reference to bathing in mercury, and the one on shining his scales with scale wax.)
Update 2012-03-14: and another strip actually shows Llewelyn pouring motor oil on himself in the bath.