linseed oil and cedar fence pickets

I have to replace about 300' of 6' privacy fence. I found what looks to be a good deal at Home Depot at $1 per picket for western red cedar. I think (but will have to measure) they're at least 5/8" thick but could be 3/4". Compared this to $1.30 or $1.60 at Lowes.
1. Is there such a thing as a cedar 2x4 to nail the pickets to?
2. I think it's cheaper to nail the pickets to the rail, but has anyone had any better luck using drywall screws?
3. My most important question.... I would like to dip these pickets in linseed or most likely cottonseed oil (unrefined) since I've done this before with trailer floors and it makes them last like crazy. Fills in and seals the voids and turns hard as hell. BUT...., is it okay to paint cedar????? I hear of people using Thompsons water seal but I think it's expensive, repetitive (every year) and a big waste of time.
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